Line a baking sheet with parchment and preheat oven to 350˚F (180˚C).
Fill a large saucepan no more than halfway with water and bring to a boil.
Reduce to a simmer, then carefully add the baking soda followed by the hazelnuts.
Simmer for 4 minutes, then drain and rinse with cold water.
Use your fingers to remove the skins and place each blanched hazelnut on the prepared baking sheet in a single layer. Gently press with a towel to remove any excess water.
Roast the hazelnuts in the preheated oven until fragrant and golden brown, about 20 minutes.
Remove from the oven and coarsely chop once cool enough to handle.
In a medium saucepan, combine the granulated sugar and water.
Bring the mixture to a boil.
Once the sugar has dissolved, reduce heat to a simmer, add the hazelnuts and cook, stirring occasionally, until the liquid starts to thicken slightly, 10-15 minutes.
Remove from heat, cover the saucepan, and set aside at room temperature for 30 minutes to steep.
Strain the syrup through a fine mesh sieve and set aside the hazelnut pieces (these can be dried and used later as a snack or garnish). Stir in the vanilla extract.
Transfer the syrup to an airtight container once cooled and refrigerate for up to 2 weeks.