There is no hard evidence that the Monster is real.
However ....
1) If this is the kid's subconscious talking to him, it's a pretty extraordinary subconscious. As a former psych grad student, I would say that it's extraordinary to the degree that it seems unlikely to be real.
This isn't to say that the Monster would thus have to be real, but rather that the fantasy element may be the power of the boy's subconscious. This is not a bad reading of the film, when you consider the subconscious roots of story, especially fairy tales.
2) His Mom appears to look at, and recognize the Monster, in the hospital room.
We learn that the Monster appears exactly as his Mom once drew him, and that she drew him with herself perched on his shoulder, as if he were her protector. Earlier, we see scenes of her trying to teach Connor how to draw the Monster, but (by Connor's reaction to her drawings at the end) it is suggested that he never learned his appearance in the detail he later imagines him having.
3) The Mom dies at 12:07. But again, maybe the fantasy element is that the boy had a premonition of that.
My conclusion? The Monster does exist in the boy's imagination and in his mother's, rather than in what we would call the "real" world, but at the same time, he's real in a way unlike ordinary imagined things. Which is to say, the Monster is real in a way that is essentially unique for fantasy.
Carrying this further: the Monster is a real being, with psychological autonomy, capable of knowing things that Connor cannot. He was created in a nascent form by Connor's mother and was brought to full life by Connor. In both cases, he lives within their imaginations; in Connor's, at least, he can only appear in fugue states that are like waking dreams.
I think it's one of the film's greatest achievements.
Prepare your minds for a new scale of physical, scientific values, gentlemen.
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