I keep getting a message saying my iPhone is hacked

A scam:

Open Calendar App from the Home screen.

Next, tap the Calendars button at the bottom.

You should now notice a section called On My iPhone with several suspicious calendars listed below it. ...

Tap on the i button next to the suspicious calendar.

Now, tap on Delete Calendar.

Changing your password is not required. You need to follow the advice posted by QuickTimeKirk above. While you can change your Apple ID password if you wish, it is unrelated to your calendar spam issue.

yes all of this is just a scam but you better change your pasword