The subprime mortgage crisis has had a great impact on global financial and real estate markets. Based on 8 domestic and global Real Estate Investment Trusts (hence REITs), we compare the performance of variance-covariance and extreme value Value-at-Risk model. In empirical study, we consider different volatility models in variance-covariance Value-at-Risk model. We also apply GDP extreme value model for estimating Value-at-Risk under the confidence level of 99%, 97.5% and 95%, respectively. Then, we check the performances of all Value-at-Risk models by back-testing and stress testing. The empirical results show that global REITs have a better performance with historical volatility according to the GARCH model than local REITs. The GPD has the same results. Finally, the stress test shows that the entire model passes the three times standard deviation Value at Risk.