At the end of its lifetime, massive stars, far larger than the Sun, explode, casting material into space (a supernova). Then, the remnants cool and collapse under gravity. Sometimes, this collapse stops when the star has become a dense white dwarf. But, in other cases, it continues, with the star collapsing further and further under gravity, until all of its matter is condensed into a single point. That point becomes a singularity, and around it there is an event horizon, within which nothing can escape the black hole’s gravitational pull.
Black holes radiate (as the late Stephen Hawking discovered) and thus lose mass. Eventually, they can lose all of it and disappear.
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