Knockdown - boat goes over, might splash the occupants, usually comes with a burst of air/gust... sometimes water over the railing, into the cockpit (no biggy).
Broach - you, like an idiot (sorry chastising my self on this one) decided that steering UP with the spinnaker up and oscillating, was smarter than steering down, usually directly preceding is a massive gybe, then an overcorrection by an over-zealous helmsman (pronounced massive NEWB) spin rolls hard to leeward, pulling you down with the gybe, then HOLDING your boat down, generally filled with water like a HUGE sea anchor. Broaches are FUN, because unlike a knockdown where you bounce right back up again, the broach will hold you down until you FIX your stupid mistake (hint RELEASE THE HALYARD YOU NITWIT, again sorry that was for me).
Capsize - generally reserved to board boats (centerboard), as keel boats generally remain upright and tend to get that way without a broach... boat is over mast in water, sometimes upside down (turtle), usually for a capsize. Again a keel boat doesnt' like to be that way, the keel makes sure of it. Now if you are unlucky enough to have your keel fall off (all due respects to the recent tragedy with the Beneteau 40 Cheeky Rafiki) then capsize is nearly unavoidable. its not unusual to capsize a laser, a sunfish, a 505, or even a decent number of smaller day sailors... all centerboarders. It's POSSIBLE to capsize a keelboat, but it requires the cabin to fill with water, or lazarettes or both. Look up J/24 capsize, and you'll see what I mean. My Capri 25 also has a similar design flaw, where the lazarettes open to below, and can flop open on a knockdown, fill with water, scuttle the boat, or capsize it, or worse yet, sink it.
Hope that's clear.
Knockdown (looks like they were attempting to do this intentionally):
Broach (in glorious fashion, note he too steered to high with the spin up)
Capsize, note they gybed, but were still to low, a scramble to high side would have kept them dry! Boat looks similar to my Capri 14.2. Start watching around 1 minute. If you watch it through, you'll note the crew waited until they got to shallow water to get back aboard (cheating, its a real PITA to get aboard once its totally righted, easier to ride your way up while it's righting).