The effusive–explosive energy emission process in a volcano is a dynamic and complex physical phenomenon. The importance of quantifying this complexity in terms of the physical and mathematical mechanisms that govern these emissions should be a requirement for deciding to apply a possible forecasting strategy with a sufficient degree of certainty. The complexity of this process is determined in this research by means of the reconstruction theorem and statistical procedures applied to the effusive–explosive volcanic energy emissions corresponding to the activity in the Volcán de Colima (western segment of the Trans-Mexican Volcanic Belt) along the years 2013–2015. The analysis is focused on measuring the degree of persistence or randomness of the series, the degree of predictability of energy emissions, and the quantification of the degree of complexity and “memory loss” of the physical mechanism throughout an episode of volcanic emissions. The results indicate that the analysed time series depict a high degree of persistence and low memory loss, making the mentioned effusive–explosive volcanic emission structure a candidate for successfully applying a forecasting strategy.