Hi, I am currently trying to study price asymmetry using the non-linear ARDL model.

My model has no serial correlation, stability is good and no heteroscedasticity.

However, I still have non-normality in the model. Is this an issue for the non-linear NARDL or something that is to be expected?

Any guidance and readings related to whether I should be worried about non normality or not would be greatly appreciated.