Currently, Octave 3.8.1 in Cygwin64 was compiled with headers 1.8.12 but HDF5 library 1.8.13.
This causes Octave to seg fault Warning! ***HDF5 library version mismatched error*** and exit.
To avoid having to recompile, you can type
to startup octave
you can perhaps add to your ~/.bashrc file the line:
alias octave="HDF5_DISABLE_VERSION_CHECK=1 octave -q"