RMSE for random walk

[muzolf]

I am trying to compare performance of a random walk and different models in predicting exchange rates in out of sample testing. I have trouble creating the random walk:
I have created a random walk series using : y=y(-1) + NRND
Now I need to obtain RMSE of the forecast using the random walk. How do I progress? I need to somehow put into into an estimation but not sure what the specification should look like

Regards
K