What is got nothing to prove?

When you ask someone for proof to their statements and they say 'I got nothing to prove' which basically means they're bullshitting.

Connor: yeah I have a new r9 390x graphics card
Bob: Show me a screenshot of your PC specs
Connor: I got nothing to prove, I'm not lying

Bob: Then show me some proof
Connor: got nothing to prove.
Bob: But your bullshit? lmao.

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got nothing to prove - video