How to create modals
Foud the answer after digging a bit, in fact I missed a little detail.

The base javascript code was correct :

$modal = new Garnish.Modal($('#my-modal')); //create a new modal
$modal.show(); //shows the modal
$modal.hide(); //hides the modal


Everything is in the HTML code, you need to declare something like this :

&lt;div id="my-modal" class="modal"&gt; &lt;!-- modal body --&gt;
    &lt;div id="modal" class="body"&gt; &lt;!-- modal-content --&gt;
        &lt;header class="header"&gt;
            &lt;h2&gt;Modal header&lt;/h2&gt;
        &lt;/header&gt;
    &lt;/div&gt;
&lt;/div&gt;


Go check the modal sources for api methods.