# Ljung-Box test for squared residuals - first lag not statisticaly significant

I applied Ljung-Box test for squared residuals for different model specifications (interecept only; ar(1); ma(1); arma(1,1)...).

I always get that the first lag is statistically not significant with p-values of 0.5 and higher. At all other lags p-values are 0.000.

What could this statistical insignificance of the first lag mean? If it wasnt for the first lag it would be clear conditional HTSK but the first lag confuses me...