Make, yes. A Black Magic camera shoots totally in raw and only costs a few thousand dollars.
If you want a steady cam, though, that's significantly more expensive; though you can find or make cheap alternatives they won't work as well.
After camera and equipment costs, you need actors, a script, director, grips etc.
You can do this for low cost if you get students or something, but union labor will cost a lot. Here are the WGA minimums, for example: http://www.wga.org/uploadedFiles/writers_resources/contracts...
Marketing and distributing a film will cost quite a bit as well.