Since release of 3.0 it is possible to select the time zone via RetroArch GUI - Settings → Services.
In older version you have to follow these steps:
echo "TIMEZONE=Europe/Rome" > /storage/.cache/timezone
Then reboot.
Using the command line interface:
nano .config/autostart.sh
And export your timezone like this:
#!/bin/sh
export TZ="Europe/Helsinki"
This is the List of tz database time zones available on Wikipedia
You may need to reboot.