Full disclosure, I have not seen this film.
Like so many other instances in real life, perhaps it's a bit of both. And keep in mind, proof is generally limited to mathematics. An LA Times investigative reporter dug into this a bit, and found a few details that support Thierry Guetta's biography. He is indeed a real individual, and he was born in France, moved to the US, and is involved in the art scene.
There is evidence that he was displaying his video work, with the 2006 posting of LIFE REMOTE CONTROL.
However, keep in mind that a director could "embellish" aspects of a person's life if they were motivated to highlight a parody on the art scene.
Of course, it is impossible to prove whether his latest incarnation, Mr. Brainwash, is sincere. The film suggests that Guetta's artistic alter ego is largely a creation of Banksy, a notion Guetta doesn't refute.
Additionally, there is some vagueness in statements by Guetta, such as (emphasis mine):
Despite an unvarnished anger for Banksy and Guetta today, Levy nevertheless says the story in "Exit" is almost entirely true.
And when there are a lot of public documents and records showing that people have taken out sums of money that need to be repaid, there is certainly a motivation to hype and promote something.
"Exit" is rather explicit about Banksy's role engineering the film's final act
This would indicate that the credited director is indeed making every effort to ensure that he makes some money off the deal. Does this mean that Guetta is fabricated? Probably not. Again, documentation exists back to his birth in 1966, as well as supporting his lifestyle as an artist, and even his compulsive video taping of things starting in the late 1990s.
Then there is the outside of Bansky's influence Glen Friedman (a famous photographer in his own right) and Guetta dramatics is covered in an article by the Guardian, which also suggest that this is for the most part "real".
So, as the comment by Lennart, it's a mixture of both elements, although a preponderance of evidence points to this guy and his story being for the most part real.. Think of it as a promotional activity that has taken on a life larger than the individual originally portrayed.