Using a mortar and pestle or a heavy pan, crush the nutmeg into pieces. With a spice grinder, grind the crushed nutmeg into a powder and set aside.
In a frying pan over medium-low heat, add all the other spices (EXCEPT the nutmeg) and toast for 2 to 3 minutes, or until you see the fennel turn a slightly darker shade and the spices become fragrant. See Notes below.
Remove the pan from the burner and allow the spices to cool for 5 minutes. Grind the toasted spices and nutmeg pieces in a spice (coffee) grinder, or mortar and pestle into a fine powder.
Store the Kerala garam masala in an airtight container. It will keep for 2to 3 months. If you store it in the refrigerator or the freezer the spice blend will be good to use much longer. Smelling the masala gives you a good idea of whether it is still fresh enough to flavor your cooking.
Be sure to buy good quality spices for Kerala garam masala.
When toasting the spices, use medium heat so as allow the essential oils from the spices to be activated before they get too brown. Don't be tempted to use a higher heat. Moderate heat gives time for the flavors to develop and ensures they don't burn.