My grandmother makes noise like "sssshhhh" in very cold weather.
which word can I describe this activity/sound?
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Your grandmother is shivering. The word you are using is called an onomatopoeia, which is a word that is spelled in such a way as to make the sound.
Different cultures around the world make sounds differently. See, for example, this Wikipedia page. Often, Americans will spell the sound "brr." In Russia, I saw it spelled "zhzh" (actually it was in Cyrillic, but this is the English equivalent).
Pronunced "Burr, it's cold out!"
You can also roll the "rrr" if your flappy English speaking tongue can manage it!