Step 1. Go to the Jira Administration tab and select Manage apps section.
Step 2. Click Custom Statuses in Checklist configuration.
After that the following configurations will be available:
Select a particular project to create or manage custom statuses.
Enter a name that displays status values.
Select icon that displays status values.
Enter status symbol for bulk editor.
Select status color.
Click to create a new status.
Step 3. Create new custom status as shown below: