Faith (Belief) consists of more than sixty branches (i.e. parts). And Haya is a part of faith.

Narrated by Abu Huraira (ra): The Prophet sallallahu alahi wasallam said, "Faith (Belief) consists of more than sixty branches (i.e. parts). And Haya is a part of faith." [Bukhari]

Modesty is part of our character, a part of our faith, something we should be proud to have attained!

Narrated Abdullah ibn Umar (ra): The Prophet (sallahu alahi wasallam) passed by a man who was admonishing his brother regarding Haya and was saying, "You are very shy, and I am afraid that might harm you." On that, Allah's Apostle said, "Leave him, for Haya is (a part) of Faith." [Bukhari]

Now the above hadith is also a form of proof that "shyness" is not just something regarding women but also an attribute that believing men should have, for it is an indication if their fear of Allah and an indication of the value of their Deen, but my thread is emphasising on the girls, the women of today.

There are two forms of Haya, inner and outer:

Inner:
Speech
Actions
Langauge
Mind

Outer:
Dress Code
Walk
Gaze

Haya and Iman are interdependent; therefore either they both exist together or they both perish. Thus, the Prophet (sallallahu alahi wasallam) has said in one hadith, "When there is no haya left, then do as you please."
Abdullah ibn Umar (ra) narrated that the Prophet (sallallahu alahi wasallam) said: "Indeed haya (modesty) and Iman are Companions. When one of them is lifted, the other leaves as well." [Baihaqi]