Calculations of the hyperpolarizability are typically much more difficult to converge with basis set size than the linear polarizability. In order to understand these convergence issues and hence obtain accurate ab initio values, we compare calculations of the static hyperpolarizability of the gas-phase chloroform molecule (CHCl_3) using three different kinds of basis sets: Gaussian-type orbitals, numerical basis sets, and real-space grids. Although all of these methods can yield similar results, surprisingly large, diffuse basis sets are needed to achieve convergence to comparable values. These results are interpreted in terms of local polarizability and hyperpolarizability densities. We find that the hyperpolarizability is very sensitive to the molecular structure, and we also assess the significance of vibrational contributions and frequency dispersion.