As noted, RAW Commissioner Stephanie McMahon announced on RAW that the first-ever Women's Royal Rumble match will take place at the January 28th Rumble pay-per-view from Philadelphia.

WWE has confirmed that the female Superstars will be competing for a title shot at WrestleMania 34. They have also confirmed that the Rumble match will feature female Superstars from both RAW and SmackDown. There's no word yet NXT Superstars participating but WWE NXT Women's Champion Ember Moon did tweet about the match, seen below.
Below is WWE's official announcement on the match along with video from Stephanie's announcement and reactions to the news, including an interesting tweet from WWE Hall of Famer Trish Stratus, who might be interested in returning to the ring for the match:

The historic first-ever Women's Royal Rumble Match announced for Jan. 28

History will be made at the 30th Anniversary of the Royal Rumble when the WWE Universe witnesses the first-ever Women's Royal Rumble Match.
Raw Commissioner Stephanie McMahon made the massive announcement on the Dec. 18 edition of Raw, declaring that female WWE Superstars will compete for a championship opportunity at WrestleMania 34.
The much-anticipated contest could not be coming at a more pivotal moment for the ground-breaking women of each brand. In addition to the elite competitors who continue to make the Women's Evolution the cutting-edge phenomenon that it is, the main roster has experienced an influx of talented new Superstars over the past several months, including Raw's undefeated Asuka, the returning Paige and her destructive Absolution cohorts, as well as SmackDown LIVE's Riott Squad. This surge of talent will undoubtedly help make the first-ever Women's Royal Rumble a can't-miss contest.
Who will seize the moment and book a ticket to WrestleMania 34 in New Orleans by winning the monumental bout? Find out when the women of Raw and SmackDown LIVE make history at the Royal Rumble, streaming live on WWE Network on Sunday, Jan. 28!