Question

For example, you see a shiny Thundurus, but it flees. Then you see it again later. Will it still be shiny?

Answer 1

Yes roaming pokemon's ivs, and nature are determined on your first encounter and so because ivs and shinieness are linked it will stay shiny.

Answer 2

I'm pretty sure it does. It keeps Nature and stuff from first encounter, so shininess should stay too