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Nowadays use of statistical tools in the market of art objects remains insufficient. The purpose of this article is the statistical analysis of return dynamics and estimation of investment risks into the art objects. Return modeling is executed on the basis of ARTIMX index, which represents an integrated indicator of art objects prices change. In the frames of this investigation, we use the Dickey-Fuller criterion for stationarity testing of net returns time series and the Ljung-Box test to check the autocorrelati...