I’ve always used drywall.
Blinds > shitrock(white side facing blinds/outdoor) > panda film.
The shitrock adds some sound deadening and although it has very little R-value, it helps a little to prevent consensation on window. Plywood adds an even tiny tiny bit more R-value than drywall.
Of course you want to start with some tight fitting blinds. If existing blinds aren’t really all that tight fitting you can add curtain fabric before drywall, but just a sheet of rock usually does it. But whatever you do, don’t use vinyl mini-blinds go with aluminum. The 2” pvc faux wood blinds usually hold up decent over the years, but not as good as aluminum mini-blinds, but a heck of allot better than vinyl mini blinds. Did I mention not to use vinyl mini blinds.