Confusion, why difference between two X Vars(highly correlated with Y) still highly correlated w. Y?

[hellohere]

Timeseries X1 and X2 are both highly correlated with Y (Cov>90%), why the difference btw X1 and X2 are still highly

correlated with Y(COV~=90%)? 

How to treat this to make a better prediciion?!

[hellohere]

What does that imply?! Or just typical?!

[PaigeMiller]

Please explain further the part in red ... difference of what?

“...why the difference btw X1 and X2 are still highly correlated with Y(COV~=90%)?”

[hellohere]

New variable =X1-X2 still correlated with Y, why? Typical? Or abnormal?

[PaigeMiller]

Can you show us the correlation matrix of X1, X2, (X1-X2) and Y

[hellohere]

Spoiler

Y=h300 x1=ordvol_dif_gap4 x2=ordvol_dif_gap1 x1-x2=ordvol_dif_g14

Pearson Correlation Coefficients, N = 22999 Prob > |r| under H0: Rho=0
	hs300	ordvol_dif_g14	ordvol_dif_gap4	ordvol_dif_gap1
hs300	1.00000	0.95534 <.0001	0.94302 <.0001	0.93251 <.0001
ordvol_dif_g14	0.95534 <.0001	1.00000	0.98923 <.0001	0.97906 <.0001
ordvol_dif_gap4	0.94302 <.0001	0.98923 <.0001	1.00000	0.99831 <.0001
ordvol_dif_gap1	0.93251 <.0001	0.97906 <.0001	0.99831 <.0001	1.00000

[PaigeMiller]

I don't think there's anything unusual here, did you try plotting the data?

[Ksharp]

That is normal. Make the second order difference and Check Corr ,if it still high , and make the third difference ,until it is not correlation.