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Greetings, Kaushal, and welcome. You asked:

<<How can I change a regular IRA to a self directed IRA?
Also is there such a thing as a self directed Rogh IRA?>>

A self-directed IRA is not a type of IRA. It's simply the name attached to an IRA (traditional or Roth) that's established with a broker instead of a bank, mutual fund or insurance company. Once established, the IRA owner may buy and sell securities like individual stocks within that IRA. To change a traditional (i.e., regular) or Roth IRA to a self-directed IRA all that's required is to transfer that IRA from where it is now to the broker of your choice. Any broker can help you do that.

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