It's in the final cut scene with Martin's voice as a narrator:
The Amulet is shattered. Dagon is defeated. With the Dragon's blood, and the Amulet of Kings, we have sealed the gates of Oblivion... forever. The last of the Septims passes now into history. I go gladly, for I know my sacrifice is not in vain. I take my place with my father, and my father's fathers. The Third Age has ended, and a new age dawns. When the next Elder Scroll is written, you shall be its scribe. The shape of the future, the fate of the Empire, these things now belong to you.
And who's to say that wasn't true.