Mysql: Rename Multiple Columns in a table or Replace Spaces in Multiple Columns

I have multiple spaces in the mysql table columns. I am trying to write a procedure to actually replace them with underscores. But I get following error:

ERROR 1064 (42000): You have an error in your SQL syntax; check the manual that corresponds to your MySQL server version for the right syntax to use near 'DECLARE col_names CURSOR FOR
  SELECT column_name
  FROM INFORMATION_SCHEMA.COLU' at line 1

Here is my procedure:

DELIMITER //
DECLARE col_names CURSOR FOR
  SELECT column_name
  FROM INFORMATION_SCHEMA.COLUMNS
  WHERE table_name = 'myTableName'
  ORDER BY ordinal_position;


select FOUND_ROWS() into num_rows;

SET i = 1;
the_loop: LOOP

   IF i > num_rows THEN
        CLOSE col_names;
        LEAVE the_loop;
    END IF;


    FETCH col_names 
    INTO col_name;     

     UPDATE table_name SET column_name=LOWER(REPLACE(column_name, ' ', '_'))

    SET i = i + 1;  
END LOOP the_loop;
DELIMITER ;

Looks to me its complaining about DECLARE

Prior to writing this question I search in the SO and found following questions:

"Renaming multiple columns in one statement with PostgreSQL"