Is it possible to run BEKK-GARCH in Stata? mgarch is of a different model type and google provide me with no good hints.
I don't think that it is posible to fit a BEKK in Stata, i'm not sure if you are familiar with R but with the package
MTS you can fit a BEKK(1,1), it takes some time to run, i would suggest that you consider a CC-GARCH wich can be estimated in Stata and in R with
ccgarch or a DCC that is also posible in both programs