There is really no right or wrong way to hold your yarn; in fact the way that's shown in the video is not the way that I usually hold my yarn at all. I've found, however, that most beginners prefer this method and it is easier for them to control their tension - so here's a video on how its done.
TIP : most beginners tend to pull their yarn really tightly. Make a conscious effort to relax your tension - remember crochet is a s-l-o-w craft, take it easy and enjoy each loop that is formed ❤️
Next lesson : how to crochet a chain stitch!