(SOLVED) HC-05 Bluetooth Module NOT be Able To Change to 115200

I bought new module of HC-05 I want to change the default baudrate of HC-05 (38400) to 115200. It never happens like this before. I use blank project file in Arduino IDE.

Entering AT Mode:
Typing AT, replied: OK
Typing AT+UART?, repled: +UART=38400,0,0, OK

Then,

AT+UART=115200,0,0
or
AT+UART=115200,0,0,

No Result!

Here's the wiring:

Unfortunately, I get failed, It keeps its default baudrate, even I typed AT+RESET.

the OK might be the ACK of the AT+UART=115200,0,0 but then your module switched to 115200 bauds.

Did you change the Serial monitor baud rate to match the 115200 ?

yes, I change it to 9600, 38400 and 115200, but I saw an empty space in 9600 and 115200. I even no response when I typed AT in selected 115200 baudrate. I succeeded changing the AT+NAME, AT+PSWD but NOT the baudrate.

When I typed AT+UART=9600,0,0

It also got failed to change.

Why do you use the Arduino ? Do you have a USB to Serial adapter ?

To make me easy to configure everything in my project.

Is the Serial Monitor set to send 'Both NL & CR'?

yes, I did with all listed, such as, newline, Both NL & CR, etc, no luck. But I found the same problem in internet where, there is a version of HC-05 that can not be changed more than 38400 but it has no solution. (even I also tried with no successfull result).

I never got failed like this either HC-05 or HC-06 and this is the first time for me, perhaps it is faulty. But why it works when I connected the module to another project using 38400. THat's why I submit a new topic here.

SOLVED, everyone.
First, I Powered up to enter the AT Mode with EN/Key pin still connected to 3.3v
Second, When it is IN AT MODE, I quickly pulled the plug or unplugged the EN/KEY jumper from its place/pin, then typed AT (then replied OK), then I typed again the AT+UART=115200,0,0

... quickly pulled the plug or unplugged the EN/KEY jumper ...

Last thing, I typed AT+UART? but it didnt show anything that made me to change the baudrate of Serial monitor to 115200 and Wow! it replied +115200,0,0 OK when I typed AT+UART? Now, I can connect my RX through my HC-05 perfectly (in self balancing robot).

Note:
BUT I still dont get it why it acted like that.

The serial adapter would be much easier in my opinion…

So it seems you need to exit the AT command mode to apply the changes. Then when you go back to AT mode the new settings are activated.

No, I started to type the AT Command (incl. AT+UART=115200,0,0) after I unplugged the jumper in EN/KEY pin. So, when the module is in AT command, I unplugged they KEY and started to type the AT command and it worked as expected! That's why it made me confused how it could be like that. I just did it without planning or thinking at all. I realized that I already unplugged the KEY pin as soon as it worked.

Long before, The key MUST be plugged and typed the AT command and it worked, But not with this current module.

Yes, perhaps, since I never used single board (USB adapter alone) to set up the baudrate.

Ah - in that case that’s weird as the module is no longer in AT command mode and should just be acting as a BT bridge…