Using a mortar and pestle break the whole turmeric, whole asafetida, and whole nutmeg into smaller pieces, one at a time. Set the three spices aside.
Remove stems of the red chilies.
Heat a few drops of oil in a heavy-bottomed pan. Add the red chilies and roast them on medium-low heat for 2 to 5 minutes stirring frequently as they get aromatic. Take out the roasted chilies in a large bowl.
Next, add the coriander seeds to the pan and roast they get aromatic making sure not to brown the seeds. Take out the coriander seeds on top of the roasted chilies.
Add 2 to 3 drops of oil at a time and continue to slow roast each spice until it releases the aromas and is hot to touch. Keep adding each roasted spice to the bowl of chilies.
Once all the spices are roasted, spread them on a large baking tray and allow them to completely cool down.
Grind the roasted spices in a spice grinder in batches to make a fine powder. Sift the ground spice powder and return any remaining coarse spices back to the spice grinder.
Repeat the above step for the remaining roasted spices. Depending on the spice grinder you have, you may end up with more coarse powder. Traditionally this spice blend is finely ground but you can also use the coarse spice blend in your cooking.
Store the sifted garam masala in an airtight glass jar away from direct sunlight. You can also refrigerate or freeze the garam masala for longer freshness.