Does anyone have a program code Gauss Markov switching GARCH threshold?
There is not an Aptech supported GARCH threshold model procedure. The Time Series MT includes the Hansen threshold model, which could possibly be adapted to fit a GARCH model.
In addition, Philip Hans Franses and Fick vn Dijk's book "Nonlinear Time Series Models in Empirical Finance", is written using GAUSS for modeling and estimation. While I am not positive about the complete contents of the book, you may find a GARCH threshold model example with accompanying GAUSS code provided. Further information, including datasets and downloadable GAUSS codes are found at http://people.few.eur.nl/djvandijk/nltsmef/nltsmef.htm.