Good day. Thank you for your question.
If you are referring to the device time synchronization, then it follows the default server set in the device configuration so when the Sim card is inserted, the time zone will change automatically according to your region. As for the SMS Event Time Zone, the default will be UTC+00:00 so to change it, you may send the following SMS command:
With login and password : <login><space><password><space>setparam 3006:-300
Without login and password : <space><space>setparam 3006:-300
If you are sending via GPRS then you may skip the login, password, and <space>. Where -300 refers to -5 in minutes (5 x 60).
Please try this and let me know if it helps.