Are video files cached or federated in any way?

I want to make posts that include video, and those videos I wish to upload on my own webserver to not rely on external links or expiration dates.

But I fear for bandwith, and I want to know if the videos will be cached on the instance or if every user will be a full web request of the video (that I can of course mitigate via good compression, and/or having a dedicated CDN that won't empty my pockets).