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You definitely want something other than just plasterboard to mount to.
Get a strong magnet into action to see if you can find existing studs behind the plasterboard to mount to. If you can then that's easiest.
If not, you could cut a hole, put some sort of wood behind the plasterboard, fix it in place, and then fix the curtains into the wood you've added. Then patch up your hole.
If you don't want to make and patch holes then yes indeed you could just fix some wood on the outside of the plasterboard using several plasterboard fixings. Then fix curtains into the wood.
I wouldn't have thought the wood would even need to be particularly beefy. If you were building this from scratch today, you'd probably just put OSB behind the plasterboard.
But we're definitely talking about a baton or some strip of wood to actually mount the rail to right?