Can anyone help me on this
You need to evaluate:
$\displaystyle I = \int_{-\infty}^{\infty} x^2\ \frac{1}{\sqrt{2\pi}\sigma}e^{-\frac{x^2}{x\sigma^2}}\; dx$
You can do this by parts spliting the integral, and integrating by parts:
$\displaystyle I = \int_{-\infty}^{\infty} [x]\ \left[\frac{x}{\sqrt{2\pi}\sigma}e^{-\frac{x^2}{x\sigma^2}}\right]\; dx$
CB