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?!
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%)?”
New variable =X1X2 still correlated with Y, why? Typical? Or abnormal?
Can you show us the correlation matrix of X1, X2, (X1X2) and Y
Pearson Correlation Coefficients, N = 22999 Prob > r under H0: Rho=0 


hs300  ordvol_dif_g14  ordvol_dif_gap4  ordvol_dif_gap1  
hs300 





ordvol_dif_g14 





ordvol_dif_gap4 





ordvol_dif_gap1 




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