How to make alpha video in after effect? Attaching here image for reference!

When you have a black background, if it is truly black, you can simply apply Red Giant's free UNMULT effect. Then you can check the alpha channel by turning on the transparency grid, viewing only the alpha channel in the Comp Panel, checking the values in the Info Panel or putting another layer below your layer.

When you have created a suitable alpha channel then you can render an alpha only using the Render Cue or you can pick a format that supports alpha channels and render a single movie that includes transparency. Your sample image is typical of the stock footage. They often supply a separate copy of the footage with only a black and white image. You can use that as a Luma Track matte or use the Set Matte effect to remove the black background from the original footage. You could also just apply the Unmult effect. Unmult is included in the Red Giant Universe bundle and there is also a free legacy version available in the Red Giant - Downloads​ section of their website.