In a dry skillet over medium heat, gently toast the Peppercorns, Bay Leaves and Star Anise until fragrant, about 2 - 3 minutes (do not let burn). Cool.
In a pestle and mortar or a spice or coffee grinder, pulse the Peppercorns, Bay and Star Anise until well ground.
In a dry jar, add the toasted spices and the remaining ground spices. Put the lid on and give it a good shake and there you go, Garam Masala.
Keeps for up to 3 months in an airtight container at room temperature.