The hair, as it is in the course, can’t be exported to Unity/Unreal.
The hair needs to be converted to a mesh object first, it is currently a hair particle system.
There are options such as using hair cards, which are mesh objects, as @spikeyxxx suggests,
or you can add hair once exported to Unity/Unreal. Both have there ways of adding hair to a character.
Unity and Unreal are game engines, not render engines, models needs to be optimized for use in game, which is why hair cards are commonly used in game engines for their efficiency.
Using the game engines own hair system, would be used if the characters hair needed to be affected by environmental factors such as wind.
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