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The only way I know of to do this would be to host the video somewhere (intranet, internet) and link to it from the PDF. Not sure if you were looking to embed it in the PDF, don't think you can do that.
I would love to know about this too. Currently we are able to insert 2 types of links using Arbortext Editor - a hyperlink that jumps to a spot within the current document and a web/html page link that opens a web page.
We would also like to be able to insert a link that directly opens a file - specifically a video file format.
This is possible using Adobe Acrobat DC, but doesn't appear to be supported (yet) with the Arbortext setup we have.