The present study is an attempt to compare two assets viz. Gold and INDIA VIX against three assets Nifty Index, Rupee-Dollar Exchange Rate, Crude so as to identify which of the two assets could be considered as the right prescription for an Indian investor as a hedge and which asset could prove as a safe haven or a rescue asset during adverse market conditions. The study considers daily closing prices of five variables for the period April 1, 2008 - March 31, 2019. The study employs both traditional tools like OLS Regression (with Dummy Variable) and also newer techniques like quantile regression to achieve the stated objective. Further both linear and non linear models have been constructed and study also includes a separate section for the period of Sub Prime Crisis to judge the behaviour of our variables during these times. The results of the study using OLS Model clearly showed that INDIA VIX does appear to perform its role as a safe haven asset in weak to moderate form against Nifty return while gold fails completely in this role. On the other hand , results from quantile regression do give a clue that gold might work as a safe haven against different assets, this however comes with a very low probability and the same is true for INDIA VIX. The quantile regression however throws some evidence that gold might also act as a hedge against Nifty Return while INDIA VIX could be suitable hedge against crude. Further the results of variability in returns during the sub prime crisis was noticed in case of gold as the dummy for sub prime was found to be statistically significant.