It was painted using watercolor and gouache, with the white highlights done in gouache (rather than being the unpainted white of the paper).
It's a spectacular example of how fur can be painted. To emulate it, the approach you'd take depends on how much patience you've got. If you've oodles, you'd paint using a thin brush, one hair at a time. Otherwise use a dry brush technique or split the hairs on a brush. Patience and endurance are essential. Work too quickly onto wet paint and the individual strokes risk blending together. Don't continue for long enough and the fur will seem threadbare.