It may not be too late to save the lavender, although it will probably lose all its leaves. If it is not covered by snow, throw a sack over it, weighted with stones at the edges. Or if it's a very small bush, bury it in loose gravel or sand. The critical time will be spring. I've lost a number of plants that looked great when I took the coverings off, but the ground was still frozen and the roots could not cope with the demands of leaf growth. If your garden soil does not freeze deeply, you have a better chance of the lavender surviving.