Amelienborg Castle, Copenhagen, Denmark

Amalienborg is the official residence for the Danish royal family, and is located in Copenhagen, Denmark. The Danish Head of State, Queen Margrethe ll, resides in the palace during autumn and winter. It consists of four identical classical palace façades with rococo interiors around an octagonal courtyard; in the centre of the square is a monumental equestrian statue of Amalienborg's founder, King Frederick V.
Amalienborg Palace is the place to be to see a Changing the Guard ceremony in Denmark. The Danish Royal Guard march from Rosenborg Castle to Amalienborg Palace where the Changing of the Guard ceremony takes place.
The ceremony takes place daily with the guard leaving Rosenborg Castle at 11:30 to arrive at Amalienborg Palace for the ceremony at 12:00. When the Queen is in residence the guard is accompanied by the Royal Guards music band.

[@emptyangel]

They do have ammo, they have short magazines in. They have radios as well.

[@danielvanr.8681]

Sorry to nitpick, but the relieving guard doesn't leave from Rosenborg Castle per se, but rather from the Royal Life Guards' barracks** in Gothersgade. The exact time of departure from Gothersgade is 1127 hrs.
**In fairness, the Rosenborg Castle is immediately adjacent, and the Royal Guards also protect said castle. However, for this particular guard duty they only wear the green service dress uniform.

[@tuasonbros]

I was a bit late