Arnold internally works linear and you can render that out to .EXR. Be sure to turn off any conversion to a color space (like sRGB, rec709). Now with a linear light render, the dynamic range is spanning from darkest black to brightest light/white in your scene - you design that by the lightsetup that you create.
HDR displays are able to show a larger dynamic range and thus can show your lightsetup with more realism than standard displays. For that, they "understand" that higher dynamic range by understanding a specific language (standard) defined for HDR, like HDR10, Dolby Vision, HLQ. You rendering itself doesn't speak that language, you have to add this in colorgrading. Baselight for example can generate the neccessary metadata and include them into the videostream.
So your question is much more complex than you may have expected. The easy answer is "yes, of course" (as most renderers can do linear light rendering), but to make it work, you need more gear than just the renderer. If you want to dig deeper into this, check the tutorials for the typical color grading systems (filmlight, resolve). I'm not into editing, but maybe the newest versions of AVID and Premiere are also able to make this work.
HDR10, HLG and Dolby Vision need you to make - at some point in production - the decision what brightness levels go where in HDR. And for that you typically go to color grading (e.g. Baselight´s "Basegrade").
