Burning of a candle is a physical change as the size of the candle is changed. The wax or paraffin melts and gets evaporated. It disappears in to a gaseous phase. The wick colour changes. Its size also changes. However, some wax melts and flows down. That again solidifies. So it shows it is a physical change because the physical properties and state are altered..
It is also a chemical change. When the wax burns many of the organic compounds in the wax dissociate chemically. Carbon monoxide, carbon dioxide and other organic compounds are formed. Oxygen from air is used in the reaction. If there is no air, then candle will not burn brightly. The light energy comes out of the chemical reaction, continuously as long as it burns. We cannot form the original wax from the carbon dioxide and other products formed.