Go to the top toolbar and choose
Sequence -> Sequence Settings. The under
Video, change the
Working Color Space from Rec. 709 to Rec. 2100 HLG.
When you export the file, if you choose a preset that does not "Match Source", make sure you choose the correct color space
File -> Export | Video -> Encoding Settings -> Export Color Space. If
Color Space is greyed out, try changing the
Encoding Settings to something else (Main 10 and High10 works for me for HEVC and x264 respectively).
To see what color space your original clips are filmed in, you can right-click on each file and find it under
Properties -> Color Space. If you have clips with different color spaces, you can right-click
Modify -> Interpret Footage -> Color Space Override.
Read more about setting color spaces in Premiere here.
A color space is the range of colors you're using. The reason for different color spaces is related to the imperfect correspondence between what the human eye can perceive, what our digital screens can display, and how we want to "quantize" colors (or how many bits do we want to use to encode a single color; colors are continuous, but we express a 24-bit color as 3 RGB numbers between 0 and 255). As screens, cameras, and post-production processes improve, new color space standards have been introduced. My impression is HDR videos often use some of these newer color space standards.