Is it possible to change the EBS volume to different availability zones?
No there isn't. You need to create a snapshot then re-create from that snapshot in the Availability Zone you want it to run in.
From the AWS documentation.
When you create an EBS volume in an Availability Zone, it is automatically replicated within that zone to prevent data loss due to failure of any single hardware component. After you create a volume, you can attach it to any EC2 instance in the same Availability Zone.
Amazon EBS provides the ability to create snapshots (backups) of any EBS volume and write a copy of the data in the volume to Amazon S3, where it is stored redundantly in multiple Availability Zones. The volume does not need be attached to a running instance in order to take a snapshot. As you continue to write data to a volume, you can periodically create a snapshot of the volume to use as a baseline for new volumes. These snapshots can be used to create multiple new EBS volumes or move volumes across Availability Zones.
Here's some background for you about regions and availability zones, which you appear confused in your question.
Amazon EC2 is hosted in multiple locations world-wide. These locations are composed of regions and Availability Zones. Each region is a separate geographic area. Each region has multiple, isolated locations known as Availability Zones. Amazon EC2 provides you the ability to place resources, such as instances, and data in multiple locations. Resources aren't replicated across regions unless you do so specifically.