Open up the jaws all the way and look for a retaining screw at the bottom of the chuck. If a screw is present, you will need to remove it before you can unscrew the chuck.

These retaining screws always have a left hand thread, so you'll have to turn clockwise to remove it.

Closing the jaws until they just touch the screwdriver can help to keep it centered (especially on slotted screws) and perpendicular.

The screw can be stubborn to come loose, especially if it has threadlocking compound on it or if it is rusty. An impact driver can work wonders here. And remember - clockwise!