Stillbirth is over-represented in lower and lower-middle-income countries and understandably this has motivated greater research investment in the development of prediction models. Prediction is particularly challenging for pregnancy outcomes because only part of the population is represented in observational research. Notably, unrecognised pregnancies and miscarriages are typically excluded from the development of prediction models and the consequences of such selection are not well understood. Other methodological challenges in developing stillbirth prediction models are within the control of the researcher. Identifying whether the intended model is for aetiological explanation versus prediction, attainment of a sufficiently large representative sample, and internal and external validation are among such methodological considerations. These considerations are discussed in relation to a recently published study on prediction of stillbirth after 28 weeks of pregnancy for women with hypertensive disorders of pregnancy in India. The predictive ability of this model amounts to the flip of a coin. Future screening based on such a model may be expensive, increase psychological distress among patients and introduce additional iatrogenic perinatal morbidities from over-treatment. Future research should address the methodological considerations described in this article.