So I implemented a proper TableView with a search functionality and sectionIndexTitles. Now, I am trying to implement a UICollectionView         
        
I had a similar requirement (for a horizontal collection view) and ended up building an index view subclass myself.
I plan to open-source it but that will likely have to wait until next month, so here's a stub to get you started:
YMCollectionIndexView.h
@interface YMCollectionIndexView : UIControl
- (id) initWithFrame:(CGRect)frame indexTitles:(NSArray *)indexTitles;
// Model
@property (strong, nonatomic) NSArray *indexTitles; // NSString
@property (readonly, nonatomic) NSUInteger currentIndex;
- (NSString *)currentIndexTitle;
@end
YMCollectionIndexView.m
#import "YMCollectionIndexView.h"
@interface YMCollectionIndexView ()
@property (readwrite, nonatomic) NSUInteger currentIndex;
@property (strong, nonatomic) NSArray *indexLabels;
@end
@implementation YMCollectionIndexView
- (id) initWithFrame:(CGRect)frame indexTitles:(NSArray *)indexTitles {
    self = [super initWithFrame:frame];
    if (self) {
        self.indexTitles = indexTitles;
        self.currentIndex = 0;
        // add pan recognizer
    }
    return self;
}
- (void)setIndexTitles:(NSArray *)indexTitles {
    if (_indexTitles == indexTitles) return;
    _indexTitles = indexTitles;
    [self.indexLabels makeObjectsPerformSelector:@selector(removeFromSuperview)];
    [self buildIndexLabels];
}
- (NSString *)currentIndexTitle {
    return self.indexTitles[self.currentIndex];
}
#pragma mark - Subviews
- (void) buildIndexLabels {
    CGFloat cumulativeItemWidth = 0.0; // or height in your (vertical) case
    for (NSString *indexTitle in self.indexTitles) {
            // build and add label
        // add tap recognizer
    }
    self.indexLabels = indexLabels;
}
#pragma mark - Gestures
- (void) handleTap:(UITapGestureRecognizer*)recognizer {
    NSString *indexTitle = ((UILabel *)recognizer.view).text;
    self.currentIndex = [self.indexTitles indexOfObject:indexTitle];
    [self sendActionsForControlEvents:UIControlEventTouchUpInside];
}
// similarly for pan recognizer
@end
In your view controller:
- (void)viewDidLoad {
    [super viewDidLoad];
    [self.collectionIndexView addTarget:self action:@selector(indexWasTapped:) forControlEvents:UIControlEventTouchUpInside];
    // similarly for pan recognizer
}
- (void)indexWasTapped:(id)sender {
    [self.collectionView scrollToIndexPath:...];
}
// similarly for pan recognizer