W：In cold water, the protein is surrounded by ordered water molecules in the hydration shell.
Molecules in the shell are highly ordered and have low energy.
Folding of a protein is (largely) driven by the entropic penalty of ordered water at room temperature (called the hydrophobic effect), whereas the low enthalpic contribution of these ordered water molecules is what drives cold denaturation.
It is due to this that during cold denaturation, there is release of heat, whereas heat is absorbed in heat denaturation.

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