So, what parts of the movie are true? According to Newsweek, there was a Ouija board involved and a nun at Estefania's school broke up the activity before it was finished. More importantly, the text that accompanies the end of the movie, where we see the detective tying out his police report, is inspired by a real police report that was filed after her death. The cops reported that they saw a "situation of mystery and rarity." It's one of the few situations where authorities admit they saw something genuinely unexplainable -- and, unsurprisingly, it's become a source of fascination in Spain ever since.
Even though it's brief, Plaza's use of bookends and a flashback structure involving the police officer give the movie a sense of legitimacy. The slight whiff of non-fiction creates some compelling tension with the film's more dream-like touches. (For example, there's a great shot of Veronica running across pavement that suddenly turns into the pages of an occult manual she was just reading.) By playing the real off the surreal, Veronica finds an often chilling middle ground.