Every single cell of your body is a little molecular engine, generating heat with its normal metabolic processes. Your body rejects most of it in order to maintain a normal temperature.
When your natural heat generation is insufficient, you shiver to generate heat by rapidly twitching your muscles. This forces the cells to burn more energy and produce more heat.
Your body is constantly undergoing a process called homeostasis, which is ultimately just regulating a stable environment for your cells, to put it very simply. Your body is capable of cooling itself down when too hot by vasodilation (dilating blood vessels). This causes vessels to be closer to the surface of the skin, which encourages sweating and thus evaporation to occur. The evaporation of your sweat is the thing that keeps you cool because of the way heat energy is transferred away.
The opposite happens when you feel cold. Vasoconstriction (constricting blood vessels) occurs to bring blood to your vital organs, away from our skin so we stop sweating so much.
This somewhat explains why frostbite happens.
Edit: thermoregulation (the process by which your temperature is controlled) is controlled by the part of your brain called the hypothalamus
A chemical reaction is exactly what’s happening. When you “burn calories”, you are really burning carbohydrates, lipids (fats), and proteins, turning them into carbon dioxide, which we breathe out, and water, plus a few other minor things. This releases lots of energy, which we use to do all those things we do as living things, including keeping our body temp steady.
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