Color difference btw render window and exported image

After rendering a scene the colors are ok, vivid and intense. When I save the rendering, however, the image created is much more flat, and the quality of the colors is quite poor compared to the rendered scene. Why?

I’ve tried saving as .jpg, .png, compressed / uncompressed but I cannot find out what is the right setting to have the generated image looking exactly as the scene in the render window.