@@ Markup PHP
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<ul id="custom_accordion">

    <?php
        $terms = get_terms('product_cat');
        if ( !empty( $terms ) && !is_wp_error( $terms ) ){
        foreach( get_terms( 'product_cat', array( 'hide_empty' => false, 'parent' => 0 ) ) as $parent_term ) {

            $term_children = get_term_children($parent_term->term_id, 'product_cat');
            if ($term_children) { ?>
               <li class="header-menu-item parent">
                    <a href="<?php echo esc_attr(get_term_link($parent_term, 'product_cat')); ?>"><?php echo $parent_term->name; ?></a>
                    <span class="li_has_child"></span>

                    <ul class="child_ul">
                        <?php foreach( get_terms( 'product_cat', array('child_of' => $parent_term->term_id, 'parent' => $parent_term->term_id, 'orderby' => 'group_name', 'hide_empty' => false) ) as $child_term ) {
                            $term_children_child = get_term_children($child_term->term_id, 'product_cat');
                            if ($term_children_child) { ?>
                                <li class="header-menu-item parent">
                                    <a href="<?php echo esc_attr(get_term_link($child_term, 'product_cat')); ?>"><?php echo $child_term->name; ?></a>
                                    <span class="li_has_child"></span>
                                    <ul class="child_ul">
                                        <?php foreach( get_terms( 'product_cat', array('child_of' => $child_term->term_id, 'orderby' => 'group_name', 'hide_empty' => false) ) as $child_child_term ) {
                                            $term_children_child_child = get_term_children($child_child_term->term_id, 'product_cat');
                                            if ($term_children_child) {
                                             ?>
                                            <li class="header-menu-item parent">
                                                <a href="<?php echo esc_attr(get_term_link($child_child_term, 'product_cat')); ?>"><?php echo $child_child_term->name; ?></a>
                                                <span class="li_has_child"></span>
                                            </li>
                                        <?php } else { ?>
                                            <li class="header-menu-item">
                                                <a href="<?php echo home_url(); ?>/products/<?php echo $child_child_term->slug; ?>"><?php echo $child_child_term->name; ?></a>
                                            </li>
                                         <?php }} ?>
                                    </ul>
                                </li>
                            <?php } else { ?>
                                 <li class="header-menu-item">
                                    <a href="<?php echo esc_attr(get_term_link($child_term, 'product_cat')); ?>"><?php echo $child_term->name; ?></a>
                                </li>
                            <?php }} ?>
                    </ul>
                </li>
            <?php } else { ?>
                <li class="header-menu-item">
                    <a href="<?php echo home_url(); ?>/products/<?php echo $parent_term->slug; ?>"><?php echo $parent_term->name; ?></a>
                </li>

            <?php }
             ?>

        <?php }
    } ?>

</ul>


@@ CSS (Not Completed but need altest this css to init accordion)
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#custom_accordion li ul {
  display: none;
}
#custom_accordion {
  width: 350px;
}
#custom_accordion li {
  position: relative;
}
.li_has_child {
  background-color: black;
  cursor: pointer;
  height: 20px;
  position: absolute;
  right: 0;
  width: 20px;
  z-index: 3;
}



@@ jQuery
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jQuery(document).ready(function () {
	jQuery("#custom_accordion li span").click(function(){

	    if(false == jQuery(this).next().is(':visible')) {
	        jQuery('#custom_accordion li ul').slideUp(300);
	    }
	    jQuery(this).next().slideToggle(300);
	});

	jQuery('#custom_accordion li ul:eq(0)').show();
});