The Reform UK leader was on his way back from the Independence Day celebrations in Washington when Sky News asked him about the allegations relating to financial support received from a convicted criminal.
Farage accused Sky News of 'harassing' his family; Sky News has not contacted anyone from his family about the story.
Nigel Farage has denied allegations that he breached parliamentary rules after reports he failed to declare support he received before becoming an MP.
The row comes as the government announces tougher rules on foreign political donations.
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