Take a fresh arbitrary variable . Assuming would provide precisely the witness forbidden by the premise; discharge that assumption before universal introduction.
1. ¬∃x R(x)             premise
2.   R(a)               assumption [i], a fresh
3.   ∃x R(x)            ∃I, 2
4.   ⊥                  ¬E, 1, 3
5. ¬R(a)                ¬I, 2–4, discharging [i]
6. ∀y ¬R(y)             ∀I, 5
At line 6, is free in no undischarged assumption: line 2 has already been discharged. The change of bound variable name is part of the universal-introduction instance.

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