Let
$E[X]=0$
them How is Expected value of $E[X^2]$ ? in my opinion is $0$ But I need confirmation and explanation
In general, if $ (\Omega,\Sigma,P) $ is a probability space and $ X: (\Omega,\Sigma) \to (\mathbb{R},\mathcal{B}(\mathbb{R})) $ is a real-valued random variable, then$$\text{E}[X^{2}] = \int_{\Omega} X^{2} ~ d{P}.$$
see for more about this in this quetion Computing the Expectation of the Square of a Random Variable: $E[X^2]$.