On the distribution of absolute values of returns for financial time series

For RTS index the filtration of enlargement type is carried out. The result of this filtration can be presented as composition of two series, one of which is stationary, but the second is non-stationary. The distribution function for time intervals between series of equal returns is constructed. This function has an exponential form. The dynamical system, generating the empirical distribution function between these series, is constructed.