I would imagine that a wasp or maybe some other parasitic insect was responsible for the demise of this caterpillar, long before the cold weather had anything to do with it.

Note the "exit holes" in the caterpillars body in the second image, though they are just visible in the first image if one looks close enough.

Canon G7
Manual mode/macro setting/IS = On
1/60 sec. @ f/4 ISO 100
First image, available light
Second image, onboard flash/second curtain/ 1/3 pwr
"My Colors" neutral
Late afternoon