My site is self hosted on wordpress.com
You are confused about what self-hosted means :)!
Currently, your site is hosted on WordPress.COM.
Self-hosted means software from WordPress.ORG (here) - on hosting that you pay for yourself - i.e. GoDaddy.
Info here on how to move your site:
https://en.support.wordpress.com/moving-a-blog/#moving-to-wordpress-org