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So, if bell peppers are in the same scientific classification as cayenne chili pepper, why aren't bell peppers hot? It comes down to a chemical compound called capsaicin. This chemical is the sole reason why a jalapeño is spicy and bell pepper is not. A bell pepper has no capsaicin. Capsaicin attaches itself to the mucous membranes in our mouths which in turn send out the fiery sensation. That heat in your mouth (or hands) will vary greatly depending on what type of chili pepper you've eaten. Peppers are ranked by their heat, or the amount of capsaicin they contain, on a scale called the Scoville Scale. Their capsaicin concentration is given a number on the scale and it is called Scoville Heat Units. Bell peppers do not have capsaicin, so they have zero Scoville Heat Units, therefore they are way at the bottom of the Scoville scale. 

Guajillo peppers are second to jalapeno if we're talking about chilies used in Mexican dishes, but are also commonly used in Southwestern cuisine. Hence, their ground or powder form is among the best Hungarian paprika substitutes.