The ProxySG ships with a limited list of time zones. If a specific time zone is missing from the included list, you can update the list at your discretion. The list can be updated by downloading the full time zone database from http://download.bluecoat.com/release/timezones.tar. Also, the time zone database might need to be updated if the Daylight Savings rules change in your area.
To update the time zone database:
Select Configuration > General > Clock > Clock.