This is a an updated recipe to build and package LuaJIT for Cygwin. The recipe is based on the unmaintained Cygwin package.
To build the packages run the following command:
cygport luajit.cygport download prepare compile install package
To install the packages you can just extract them into the root directory:
eval "$(cygport luajit.cygport vars PVR)"
tar -C / -xjvf luajit-$PVR.x86_64/dist/luajit/luajit-$PVR.tar.xz
tar -C / -xjvf luajit-$PVR.x86_64/dist/luajit/lujait-devel/luajit-devel-$PVR.tar.xz
WARNING: Uninstallation is not supported. Hence you have to remove all files manually.