Obviously, making the archway out of plywood on the wall faces is no big deal. Simply cut them out and mount them to the studs, then put drywall directly over them and trim to the profile of the archway. The tricky part is that underside part BETWEEN the wall faces.
First of all, you'll need to cut and mount wood blocks between the pieces of plywood along the curve so that you have a good solid nailing/screwing surface for the drywall that you're going to try and attach. You will not get a solid hold if you try to nail or screw directly into the edges of the plywood. (You can use any kind of scrap dimentional lumber that works.)
Second, you CAN bend drywall to a certain extent if you dampen it and then place it over a form to dry. This can be a long and tedious process as you may have to dampen/dry the drywall several times. You cannot get too severe a curve, but you can get some with this method. Alternatively, you can attach small strips of drywall to the underside of the arch, and then smooth the curve out by building up layers of drywall compound (also a tedious process as you should use thin layers).
Believe it or not, I have actually had some success with kerf cutting the back of the drywall with a Dremel. It made a decent curve, but was a messy business and extremely delicate to handle and mount. But if you only have small curved sections, it might be worth the effort.