Screen reader and closed caption compatibility

Accessibility query! I have a Check for Understanding question that includes a video with no narration.

Currently, to ensure the question is accessible I uploaded the video as a GIF and added alt text to describe the video contents. However, I would prefer to give learners the ability to play/pause and therefore upload it as a video instead. 

I had planned on adding the alt text as closed captions in the video. BUT, my question is, will a screen reader read the closed captions in the video? 

Thanks for any input!