A relation $R$ is an equivalence relation if it is reflexive, symmetric, and transitive.
1. Reflexive:
For any $a \in \mathbb{Z}$, $a-a = 0$, and $5$ divides $0$.
So, $(a,a) \in R$. Hence $R$ is reflexive.
2. Symmetric:
Suppose $(a,b) \in R $\Rightarrow$ 5 | (a-b)$.
Then $a-b = 5k$ for some $k \in \mathbb{Z}$.
So $b-a = -5k$, which is also divisible by $5$.
Hence, $(b,a) \in R$. So $R$ is symmetric.
3. Transitive:
Suppose $(a,b) \in R$ and $(b,c) \in R$.
Then $a-b = 5m$, $b-c = 5n$ for some $m,n \in \mathbb{Z}$.
Adding: $(a-b) + (b-c) = a-c = 5(m+n)$.
So, $5 | (a-c) $\Rightarrow$ (a,c) \in R$.
Thus, $R$ is transitive.
Since $R$ is reflexive, symmetric, and transitive, $R$ is an equivalence relation.
Final Answer:
\[
\boxed{\; R \text{ is an equivalence relation.} \;}
\]