Get a 100% completion in GTA 5, then go to the wooden platform ("Come back when your story is complete" is engraved on the back of the wooden platform) at the top of Mount Chiliad at 3 a.m. while it is raining, and a UFO will appear. It is recommended you go to the top of Mount Chiliad around 2 a.m., and use the "Change weather" cheat code to cycle the weather to rain before the in-game time reaches 3 a.m. It says "FIB" on the UFO, which probably indicates it is not an alien UFO.
Get a 100% completion in GTA V, then fly a helicopter to full altitude exactly above the following location at Fort Zancudo military base. Next, descend straight down until a UFO appears. It is more advanced than the UFO that appears at Mount Chiliad. It is completely black and makes electronic noises. It will turn the screen blurry and power down your helicopter if you get too close to it. Note: It may be difficult to find the UFO, as it has a cloaking screen that makes it completely invisible until you get close to it.
Get a 100% completion in GTA V, then fly a helicopter to full altitude above the following location at Sandy Shores. The UFO found at this location is the exact same UFO that can be seen at the top of Mount Chiliad.