A stochastic approach for the description of the time evolution of the magnetization of nanomagnets is proposed, that interpolates between the Landau–Lifshitz–Gilbert and the Landau–Lifshitz–Bloch approximations, by varying the strength of the noise. Its finite autocorrelation time, i.e., when it may be described as colored, rather than white, is also taken into account, and the consequences on the scale of the response of the magnetization are investigated. It is shown that the hierarchy for the moments of the magnetization can be closed, by introducing a suitable truncation scheme, whose validity is tested by direct numerical solution of the moment equations and compared with the averages obtained from a numerical solution of the corresponding colored stochastic Langevin equation. This comparison is performed on magnetic systems subject to both an external uniform magnetic field and an internal one-site uniaxial anisotropy.