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How can I estimate a BEKK GARCH(2,2)?
The following code does not work:
' sp and tsx are two returns series
system sys1
sys1.append sp=c(1)
sys1.append tsx=c(2)
sys1.arch @diagbekk c arch(2) garch(2)

eviews returns the following error message:
Coefficient matrix of system ARCH must be rank 1 or full rank in
"DO_SYSBEKK.ARCH @ DIAGBEKK C ARCH(2) GARCH(2)"

Can someone help me?

Thanks