Rounding corners on arc lines? (Illustrator CC)

Hello,

Sorry if this is a basic question -- I am still new to the program.

I was wondering how I add corner radius / round corners on an arc?

On a straight line, I have been able to do this https://gyazo.com/2027b33a09eab25f3d565a0a8acfd276​ by merely adjusting the corner radius at the top. However, this is a small rectangle that appears as a line, so it is not a real line.

The arc I am trying to work with looks like this https://gyazo.com/8f655cd0d79c07c61e2ffdd822bd34a3​, you can see that there are no anchor points on the corners, just the ends of the line/arc itself. There is no "corner radius" to be adjusted on the top panel, and applying Effect --> Stylize --> Round Corners has no effect.

How do I round the corner on an arc (and presumably line) so that it looks like the small rectangle corners from earlier?

Thank you