It is shown that nonlinear self-interaction of energetic particle-driven Geodesic Acoustic Mode does not generate a second harmonic in radial electric field using the fluid model. However, kinetic effects of energetic particles can induce a second harmonic in the radial electric field. A formula for the second order plasma density perturbation is derived. It is shown that a second harmonic of plasma density perturbation is generated by the convective nonlinearity of both thermal plasma and energetic particles. Near the midplane of a tokamak, the second order plasma density perturbation (the sum of second harmonic and zero frequency sideband) is negative on the low field side with its size comparable to the main harmonic at low fluctuation level. These analytic predictions are consistent with the recent experimental observation in DIII-D.