The development of the nonlinear version of the Continuous-time Generalised Predictive Control (NCGPC) is presented. Unlike the linear version, the nonlinear version is developed in state-space form and shown to include Nonlinear Generalised Minimum Variance (NGMV), and a new algorithm, Nonlinear Predictive Generalised Minimum Variance (NPGMV), as special cases. Through simulations, it is demonstrated that NCGPC can deal with nonlinear systems whose relative degree is not well defined and nonlinear systems with unstable zero dynamics. Geometric approaches, such as exact linearisation, are shown to be included in the NCGPC as special cases.