Hi,
There isn’t an easy way to get debugging output on the SFTP connection; however, it can be emulated fairly easily.
UpdraftPlus uses the phpseclib library for SFTP, which is the most popular PHP SFTP library – https://phpseclib.sourceforge.net/ . If you download a copy of this library, and upload it to your webspace, and upload a copy of the test script for debugging SFTP (adjusting the username/password to match yours) – https://phpseclib.sourceforge.net/documentation/net.html#net_sftp_debug – then you should then be able to get debug output.
And/or, you could send a private reply to this post (tick the ‘private reply’ checkbox) with your SFTP credentials, and we can test what happens here.
Finally – you mention the website is with GoDaddy. I think, based on some past support questions, that some GoDaddy servers firewall outgoing connections that aren’t to common ports, and port 22 (SFTP) may be firewalled outgoing on your webserver.
David