I see my mistakes and realised that I misunderstood the definition of compactness. I would correct the proof as following:
Since a compact set in a Hausdorff topological space is closed, it follows that $G_i \forall i \in \Lambda$ is closed. Hence, $\bigcap_{i \in \Lambda} G_i$ is closed. Now define $F:=(\bigcap_{i \in \Lambda} G_i)^{c}$ which is the complement. Note that $F$ is open.
Let $\bigcup_{i \in I} U_i$ be an open covering of $\bigcap_{i \in \Lambda} G_i$. My goal is to show that this covering is finite or has a finite sub-covering.
Note that $\bigcup_{i \in I} U_i \cup F$ is the whole space. In particular it is a covering of $G_{i_0}$ for $i_0 \in \Lambda$. By compactness of $G_{i_0}$ there exists finite $I' \subset I$ s.t. $G_{i_0} \subset $ $\bigcup_{i \in I'} U_i \cup F$.
Note that:
$\bigcap_{i \in \Lambda} G_i \subset G_{i_0} \subset \bigcup_{i \in I'} U_i \cup F$. But since $\bigcap_{i \in \Lambda} G_i \cap F = \emptyset$ we have that:
$\bigcap_{i \in \Lambda} G_i \subset \bigcup_{i \in I'} U_i$. So we have found a finite open covering and hence $\bigcap_{i \in \Lambda} G_i$ is compact.
Is that correct?