Cathedral ceiling skylights mount right in the roof. One hole does it all. A regular ceiling needs either a straight or flared shaft. A flared shaft directs more light into the room. With either shaft you'll have to cut and frame two holes one in the ceiling and in the roof.
Reflective shafts increase the light provided.
Remember that shafts need insulating to prevent heat loss. Follow manufacturer's instructions. Unless you 're comfortable cutting holes in your roof, you may want to measure three times when putting in a skylight. Always check for wiring before cutting anything. Check the weather forecast.