If you want your videos to rank in search results under your domain, you should look at hosting your videos on with a service like Wistia or SproutVideo and then embed that video on your webpage.
I thought they rounded it up nicely here: https://wistia.com/doc/video-seo
Unless you have a really good & fast webhost with video expertise (you will need multiple video formats for each video), you are better off not self-hosting for page speed.