There is no definite answer, but there are theories.
My own guess would be that Calyrex is the "Opposite" Pokemon to Eternatus and where as Eternatus's Dynamax powers, corrupt and cause Pokemon to loose control, Calyrex's on the other hand, is a more stable and ''Complete'' version of the form, perhaps even what the form is truly meant to be like, that gives better control over the Dynamax form.
Until now the only Pokemon we knew that could grant Dynamax is Eternatus, and his version is always red, so for Calyrex to have a blue version, means he would have to be casting his own version, meaning Calyrex has the Dynamax Power as well, just a different version of it.
It's likely that Calyrex can produce its own Dynamax energy, as it has been evidenced to be exceptionally powerful in other ways.
Hope I helped!