ugarchspec() function is part of the
rugarch-package which works with the
rugarch set of functions.
rugrach does support GJR-GARCH. The
fGarch-package works differently, you can call
garchFit() directly. It seems to me that
fGarch does not support any other GARCH specification than regular GARCH or APARCH, as suggested by this error message:
> garchFit(~ gjrgarch(1,1), data = x.vec, trace = FALSE)
Error in .garchInitSeries(formula.mean = formula.mean, formula.var = formula.var, :
formula.var must be one of: garch, aparch
This question and the overview given by
library(sos); ???gjr suggest that the authors of
fGarch mention GJR-GARCH but didn't implement it (yet).