Learn Portuguese (Portugal): Elas estudam muito.

Elas is the feminine form of "they" used for a group consisting entirely of females. If the group included even one male, or was all males, you would use Eles.

How does the verb estudar change to match Elas?

Because estudar is a regular -ar verb, you drop the -ar ending and add -am for the "they" form. This same -am ending is also used for eles and vocês.

How do you pronounce the -am at the end of estudam?

The -am ending on verbs does not sound like the English word "am". It actually produces a nasal sound exactly like the Portuguese -ão, which sounds a bit like "owng" spoken through your nose.

Should muito change to muitas to match the feminine and plural Elas?

No, because in this sentence muito means "a lot" and describes the verb (how much they study). Words that describe verbs are called adverbs, and they never change their gender or plural endings to match the subject.