Saving RAW file with HDR as JPEG looks dull not bright

[Wings & Space]

Hi all, I shoot in RAW and edit using HDR but when I save the photo as JPEG it looks dull and not like HDR? I tick the HDR Output box in settings when exporting. Any idea what I am doing wrong?

Two examples below. Thanks!

[Shivani Somayajula]

Hey there, Welcome to the Photoshop Community. 

JPEG cannot store HDR data. Use a format such as AVIF that does support HDR.

Please check here for more details: https://adobe.ly/3XtIQOb

Let us know how it goes. 

Thanks, 

Shivani