I think it's illegal to own one due to the fact that they are endangered. If not then you would need a large tank because of their massive size and slow swimming. So many other problems like their a deep sea dwelling specimen that you would run into. I wouldn't recommend having one!
Yes, according to National Geographic, during the daytime, they rest in caves anywhere from 100 to 500 meters deep while others migrate to deeper waters. So, I think keeping one is rather impossible...