The wall, being next to garage, should have been constructed with at least a cavity - presumably above the garage you have a 'normal' external wall to the house? - so have you considering filling the cavity with foam on ALL the house. This would improve the wall you refer to all, as well as the whole house.
The alternative is to batten the garage side with wood, press in Celotex slab sheets between the battens then plasterboard nailed into the battens. Celotex is more expensive than Rockwool but is rigid, is twice as good as Rockwool in insulation properties, so is more helpful in this situation - otherwise you will end up making your garage quite a bit narrower. Celotex do produce some specialist all-in-one wallboard insulation sheets, I think - try Google-ing the name.