More so others can see you better, notice on a foggy day you generally notice the cars with warmer tungsten headlights than once with HID/LED headlights? This is because during the day, fog actually appears quite white and projecting white lights through a white fog makes it harder for others to see/notice you.
From a driver's perspective any light frequency will just behave the same in terms of "penetration" as he wavelength is much smaller than the fog particles themselves.
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