Abstract Dense functional magnetic resonance imaging datasets open new avenues to create auto-regressive models of brain activity. Individual idiosyncrasies are obscured by group models, but can be captured by purely individual models given sufficient amounts of training data. In this study, we compared several deep and shallow individual models on the temporal auto-regression of BOLD time-series recorded during a natural video-watching task. The best performing models were then analyzed in terms of their data requirements and scaling, subject specificity, and the space-time structure of their predicted dynamics. We found the Chebnets, a type of graph convolutional neural network, to be best suited for temporal BOLD auto-regression, closely followed by linear models. Chebnets demonstrated an increase in performance with increasing amounts of data, with no complete saturation at 9 h of training data. Good generalization to other kinds of video stimuli and to resting-state data marked the Chebnets’ ability to capture intrinsic brain dynamics rather than only stimulus-specific autocorrelation patterns. Significant subject specificity was found at short prediction time lags. The Chebnets were found to capture lower frequencies at longer prediction time lags, and the spatial correlations in predicted dynamics were found to match traditional functional connectivity networks. Overall, these results demonstrate that large individual functional magnetic resonance imaging (fMRI) datasets can be used to efficiently train purely individual auto-regressive models of brain activity, and that massive amounts of individual data are required to do so. The excellent performance of the Chebnets likely reflects their ability to combine spatial and temporal interactions on large time scales at a low complexity cost. The non-linearities of the models did not appear as a key advantage. In fact, surprisingly, linear versions of the Chebnets appeared to outperform the original non-linear ones. Individual temporal auto-regressive models have the potential to improve the predictability of the BOLD signal. This study is based on a massive, publicly-available dataset, which can serve for future benchmarks of individual auto-regressive modeling.