Visual effects are called VFX
Special effects (SFX) are different.
SFX is when things are recorded on scene but VFX are done in the computer. It varies from one film to another weather the filmmakers use SFX or VFX. It often depends on the budget that the movie gets.
E.G:
Often explosions in movies are computer edited but if the movie is expensive and has a high budget, the filmmakers use real explosions if it is possible