There are various choices with different advantages:-

Essex board — this is highly compressed paper fibreboard (like a very dense cardboard) available from many trade suppliers. It is grey in colour and comes in various different sizes, usually 4mm thick. It is lightweight and very easy to cut with a sharp utility knife, with no splinters. You can staple in to it with short staples, or use glue to attach waddings and fabrics. It will bend around curves and you can score it to create angles for returns. It is designed to resist moisture. It can become slightly wavy in long lengths, so may not be suitable for large pelmets.

Hardboard — this is high density compressed fibreboard (HDF) and is a wood-based product. It is light but can be unstable in longer lengths; it can also be prone to warping in damp or humid atmospheres. It is not difficult to cut with a handsaw but can need sanding to tidy up the cut edge. It is cheap, but not very thick (3mm) so you may not be able to use staples. Some stockists have 4mm thick board.

Plywood — this is also a wood-based board, made by gluing thin sheets of wood veneer together. Each layer is turned through 90 degrees so that the grain changes direction; this is what makes it strong and stable. Various thicknesses are easily available (4mm, 6mm, 9mm) in different sized sheets. You can also get exterior ply which resists water. It is lighter than MDF of the same thickness, can be cut with a hand or electric saw, but does splinter easily which means it needs sanding after cutting. It is easy to staple in to and also takes glue well.

MDF — this is made from compressed and glued wood fibres formed in to boards under high pressure and temperature. It is dense which makes it heavier than plywood, but also harder to staple in to. It can be cut with a hand or electric saw but gives off a very fine dust so make sure you wear a mask. It is stable, and made in a range of thicknesses. Moisture-resistant versions are available.