JPEG is the file name for pictures, PNG is another file for pictures. Don't know the difference. But MP4 are for videos. If you have an option to download something in a type of file and you want a video, choose MP4. If you don't have an option to download something in a specific file, try screenrecording. There's an option for that on the navigation bar if you swipe below. Look for a button that says "screen recorder" and do the rest. If you don't see the button, scroll all the way to the right and press the "+" button and drag the screen recorder button down so you can use it. 
If you already have videos on your phone, you can go to Gallery, find the video you want, and it should be this icon on the lower left corner (see the screenshot). If you tap on it, it will capture the video as a jpeg file to "Video captures" folder.
