Hello,
I would suggest disabling any third party extensions you have enabled to see if one is interfering. The default script of the module will open and close as shown on the demo link I provided above, so something is most likely interfering.
Looking at the source of your site I see several javascripts that aren't called correctly, this one for example:
<script src="
http://58ac40c7a9f1bb601417-136b82a13e0a018a3b4d7f50924b6a9c.r24.cf3.rackcdn.com/lightbox/js/jquery-1.11.0.min.js?1448476593"></script>
Jquery should never be called on its own outside of the Joomla core like this script is doing. Jquery is meant to be called only from the core Joomla js files to avoid multiple scripts calling Jquery and causing conflicts.
Disabling third party scripts is the best way to determine if one is interfering.