It's harder, stronger, and denser than MDF... rather like hardboard. Certainly has greater resistance to moisture than MDF, but since it's a compressed fibreboard, I wouldn't like to use it outdoors.
Treatment (from rot) isn't the problem. I think water would eventually cause it to swell and fall apart.
I think you'd be better off with exterior plywood.
MDF will be worse than HDF. Even if you treat it, I suspect it would eventually absorb moisture and fail.
Certainly wouldn't use it outdoors or anywhere subject to constant damp.