We humans aren't quite the same as horses but we are both warm blooded mammals. Shivering is a biological reflex action to the cold and an attempt to warm the skin up - but when temperatures are extreme is just isn't going to work - go and stand outside yourself in a T shirt and see how warm you feel after 10 minutes of shivering!!!
When a horse is cold enough to be shivering you need to wait a while after putting the first thin layer on to see if they've warmed up before throwing on any more, sometimes a bucket of warm water and a small feed helps - I like to give sugar beet and chopped forage for that. A lot of horses don't drink enough in really cold weather
Horses that are blanketed and/or stabled don't need as much feed to keep them warm but they still need to have enough hay to keep their digestive systems healthy.