I can't escape from this Nazi guy at school

This all started around a year ago. We met this guy called Jay at lunch time, he wanted us to join his discord server, my friend sort of knew him so I said why not and gave him my discord. WORST mistake of my life.

This guy is a full on Nazi, extremist, homophobic, sexist, racist, anti-semetic the whole lot. I thought it was all jokes and since my friends seemed fine with it and it was a way we could all talk, we stayed in the group.

After a few months I began to realise that he was for real about all this so over the summer we all left the server and blocked him (I didn't block him but only unfriended him. Everything was great until September came around and we had to face the music. We all said our excuses and stuff but kept him blocked and didn't join back.

Eventually he forced me to friend him again and sent an invite to the server. He said he wiped the whole thing so I gave him a warning and said the first terrible thing I see I will leave. Not even 5 hours later, he sends a picture of an anime girl in a swastika bikini so I leave the server.

He starts raging at me in the dms but I ignore him and I'm free again for a while. At school Jay's an even bigger asshole and starts threating us. He said on LGBTQ day he would "curb stomp you if you don't wear all black". I ignored it anyway and came in in colours, he wasn't even in school so it was fine.

He also threatend to beat up two of my other friends. The one I remember the most was the second one. Jay crushed my friends cake that he had bought at the cake sale, so my friend punched Jay. I wasn't there since I was helping a guy open his locker that he was struggling with. So when I came down I saw Jay fuming, asked what happened, he told me he was going to fight my friend. We eventually reasoned with him and he didn't end up fighting my friend but it was really scary and tense.

Now he added me back to the group and said he would beat me up if I left. We all still hate him, we tried hiding from him at lunch time but he found us. I can't break it off by telling Jay to leave us because I fear that a fight would go down which I don't want to risk. I could tell teachers and show them discord messages to back up my claims. I don't want to do anything right now because of the exams next week. I'm just completly lost at this point.