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Greek
character
with
very
loud
furry
garment
(4)
Greek character with very loud furry garment (4)
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The definition is at the end of the clue.
How the clue works
"Furry garment" at the end is your definition, pointing at MUFF, the thing you'd shove your hands into. For the wordplay, take the Greek letter MU and stick FF after it — that's the musical shorthand for "very loud" (fortissimo) — and the two together give you MUFF.