Cloverfield

The film is presented as found footage from a personal camcorder recovered by the United States Department of Defense. A disclaimer states that the footage is of a case designated "Cloverfield" and that it was found in area US447, "formerly known as Central Park". The video consists primarily of segments taped the night of Friday, May 22. Occasionally, older segments are shown from a previous video that was taped over.
The first video segment shows Beth waking up on the morning of Monday, April 27, having had sex with Rob, a previously platonic friend, who is filming her. They make plans to go to Coney Island that day. The footage then cuts to the evening of Friday, May 22, when Jason, Rob's brother, and his girlfriend, Lily, prepare a farewell party for Rob, who will be moving to Japan. Their friend Hud uses the camera to film testimonials during the party.
After Beth has an argument with Rob and leaves the party, an apparent earthquake strikes, and the city suffers a brief power outage. The local news reports that an oil tanker has capsized near Liberty Island. When the party-goers leave the building, the severed head of the Statue of Liberty is hurled into the street in front of them. Hud records what appears to be an enormous creature several blocks away causing the Woolworth Building to collapse. Later, during the evacuation of the city, the creature's gigantic tail destroys the Brooklyn Bridge, killing Jason and several other people. News reports show the Army National Guard's 42nd Infantry Division attacking the monster. Smaller "parasite" creatures fall off its body and attack nearby pedestrians and soldiers.[5]
Rob listens to a phone message from Beth, saying she is trapped in her apartment and unable to move. Going against the crowd, Rob, Hud, Lily, and Marlena (another party guest) venture into Midtown Manhattan to rescue Beth. They get caught in a battle between the creature and the National Guard and run into the Spring Street station, where they are attacked by several of the parasitic creatures inside the subway tunnel. Marlena is bitten by one of them. Exiting the subway via the 59th Street station, the four come to a command center and field hospital, where Marlena develops a reaction to the bite, which causes her abdomen to inflate and explode, killing her. One of the military leaders tells the group when the last evacuation helicopter will depart before the military executes its "Hammer Down Protocol," which will destroy Manhattan in an attempt to kill the monsters.
The group eventually rescues Beth, who was impaled on exposed rebar, and the four make their way to the evacuation site at Grand Central Terminal, where they encounter the creature once more. Lily is rushed into a departing Marine Corps helicopter and escapes. Moments later, Rob, Beth, and Hud are taken away in a second helicopter and witness a U.S. Air Force B-2 Spirit bomb the creature. The bombing appears to harm the creature, causing it to fall, but it then lunges at the protagonists' helicopter, causing it to crash into Central Park.




Greyshot Arch
The film skips to the early morning of Saturday, May 23, less than an hour later. A voice on the crashed helicopter's radio warns that the Hammer Down protocol will begin in fifteen minutes. The three friends regain consciousness and flee the remains of the helicopter, leaving the camera behind, but when Hud goes to retrieve it, the creature suddenly appears and kills him.
Rob and Beth grab the camera and take shelter under Greyshot Arch in Central Park. As air raid sirens begin to blare and the bombing starts, Rob and Beth take turns leaving their last testimony of the day's events. The bridge crumbles and the camera gets knocked out of Rob's hand and buried beneath some rubble.[6] Rob and Beth each proclaim their love for each other just before another bomb goes off, at which point they both can be heard screaming while the monster roars. The viewer is left to assume that either the monster has killed them and/or the bombing has killed them all.
The film then cuts to footage of Rob and Beth's Coney Island date on April 27. Unnoticed by the characters, something in the distance falls from the sky into the ocean. Rob points the camera toward Beth and himself. He zooms in on Beth, who says "I had a good day." The tape then freezes and cuts out.

Question: where does they both took shelter?
Answer: under Greyshot Arch in Central Park