As I understand it, the predictive bit of the EGPWS uses Doppler returns from the normal weather radar to pick up any strong vertical motion ahead. It can only do this if there are some radar-reflective particulates in the air in question, like rain, dust, etc.
On the fit I fly with, you get things like: "Monitor Radar Display!" and "Windshear Ahead!" and it draws a pretty picture on the NAV display showing where it has detected the shear. Clever stuff.
I think the 'reactive' windshear detection is part of the GPWS and is based on change of wind component... "Windshear! Windshear!"