Hela is officially Odin's daughter and Thor's older sister. She was born before Thor and was Odin's heir before he banished her. Hela is also Loki's older adopted sister.

As to whether Hela is Frigga and Odin's daughter, it's left for debate and on her Marvel Cinematic Universe wiki page, it only states she is Frigga's possible daughter:

Relationships

Family

Asgardian Royal Family

Buri † - Great-grandfather

Bor † - Grandfather

Odin † - Father and Enemy

Frigga † - Possible Mother

Thor - Brother, Enemy and Attempted Victim

Loki - Adoptive Brother, Enemy and Attempted Victim

Furthermore on her page, it states only that she is the daughter of Odin Borson:

The oldest child of Odin Borson, Hela had served as her father's personal executioner and the leader of the Einherjar, helping him Conquer the Nine Realms through violence and war.

As far as we know, Frigga is Odin's only known consort and the question of Hela's mother has never been addressed or answered by any of the actors or directors. Nonetheless, Hela would be Frigga's daughter; it would just be the question of whether it's by marriage or blood.

Update

Spoilers for Avengers: Infinity War

Thor tells Gamora that Hela is his half-sister, confirming she is not the daughter of Frigga but only of Odin. Her MCU wikipedia page has changed Frigga's relational status to Hela from "Possible Mother" to stepmother.