No, no aliens, no ghost, no magic or anything else. This is a natural event when on the upper layers of our atmosphere are fully with water cristal (common name: ice) that reflects the horizontal sun rays that comes from the Sun. When this ice cristal are perfectly six sides formed the light reflect can be very wonderful (like in the image).
The exact way that it is happen it’s very simple. The ice cristals fall from the upper atmosphere layer down (obviously) and if they have a particular shape the way they go down is flat (or nearly). So, if you put one layer of flat ice cristal above other flat layer ice cristal and so on light rays will bend vertically creating a “Sun pilar effect”.