Step 1:

Calculate your models' RMSE for each series

Step 2:

Compare and contrast the models separately for each model

Step 3:

Which one's RMSE is lower more often

Explore the theoretical that relate to empirical ones

You need to re-calculate out-of-sample forecasts produced from different origins. Step-by-step instructions can be found in this work:

Conference Paper Data Formats and Visual Tools for Forecast Evaluation in Cyb...

More on error metrics:

Chapter Forecast Error Measures: Critical Review and Practical Recommendations

Step 1:

Calculate your models' RMSE for each series

Step 2:

Compare and contrast the models separately for each model

Step 3:

Which one's RMSE is lower more often