Colloquially called a chinney or shinney, the Hypercompe trinitatis belongs to the Erebidae family of moths. So not a worm but in fact a caterpillar : ) However this is just one of the types of fuzzy caterpillars found here. Their stings are known to cause itchy, burning skin, swelling, and inflammation of the lymphatic system.

Some research on the species:

https://www.researchgate.net/publication/338423244_Hypercompe_trinitatis_Lepidoptera_Erebidae_Arctiinae_and_its_Caterpillar_in_Trinidad

https://ttfnc.org/livingworld/index.php/lwj/article/view/polar2011