Color information is contained in three channels: red, green, and blue. In addition, an image can include an invisible fourth channel, called an alpha channel, that contains transparency information.
An alpha channel provides a way to store images and their transparency information in a single file without disturbing the color channels.
When you view an alpha channel in the After Effects Composition panel or a Premiere Pro Monitor panel, white indicates complete opacity, black indicates complete transparency, and shades of gray indicate partial transparency.
A matte is a layer (or any of its channels) that defines the transparent areas of that layer or another layer. White defines opaque areas, and black defines transparent areas. An alpha channel is often used as a matte, but you can use a matte other than the alpha channel if you have a channel or layer that defines the desired area of transparency better than the alpha channel does, or in cases where the source image doesn’t include an alpha channel.
Many file formats can include an alpha channel, including Adobe Photoshop, ElectricImage, TGA, TIFF, EPS, PDF, and Adobe Illustrator. AVI and QuickTime (saved at a bit depth of Millions Of Colors+), also can contain alpha channels, depending upon the codecs used to generate these file types.
For instructions on how to export video with an alpha channel (transparency), see this post.