Can we get a picture? It's clearly an exposed wall, but how much insulation is in that wall or specifically between that stud space? Do you have electrical running in that specific section? Own or rent? Do you need to be able to undo most of your work? If you don't care about insulation, you could technically drywall over it; but you're still going to get a very cold wall.

If you aren't able to break the wall open more (insulation batting, hard foam board), then you're really left with trying to insulate what you can get at, and close the wall up.