Unfortunately, there is no built-in palette animation, but it's reasonable to do if you're emulating an old-enough system that has few colors. It's a bit of work, though.
In one of the RGSS makers, you have to make each sprite a portion of the sprite that has its own color. This is easy with GameBoy or NES sprites (3 colors, plus that invisible background color which doesn't count). Then, you give them the same dimensions and put them all in the same place, so the sprite is really a bunch of separate sprites, each with their own color. Then, you give the sprite its own homemade palette data and just cycle those sprites' colors according to the palette data. (Or, you can cycle the palette data itself and just update each part's respective color.)
In the 320x240 makers, it's more difficult, because there's no .color attribute. You have to jump through more event command hoops. But I think it's still possible. Using the "Color" property in the Move Picture settings is awkward, though. And you have to keep track of which color settings you're using.