I have followed below documents :
https://docs.microsoft.com/en-us/dynamics365/customer-service/configure-bot-virtual-agent
https://docs.microsoft.com/en-us/power-virtual-agents/advanced-hand-off
I have gone through those documents and regarding Omnichannel i think we require seperate license for that i have tried but it s not working and other option which I found is Botframe work in which I have no knowledge.
Next is building our own engagement hub document which I have gone through.In this there are no steps for creating an engagement hub and connecting to live agent.So if you can explain me about the steps it will be helpful
I would encourage you to check your licence first. See which licence you have and that will tell you if you have the full PVA or the PVA in Teams.
Here's a handy site to see what access you have based on your licence: Home | M365 Maps
Here are two pages that gives you an overview of PVA and PVA in Teams.
PVA: Overview of Power Virtual Agents web app - Power Virtual Agents | Microsoft Docs
PVA in Teams: Overview of Power Virtual Agents in Microsoft Teams - Power Virtual Agents | Microsoft Docs
Once you know what licence you have, that may be easier to determine whether you can connect to live agent or not. I'm still new to PVA and we only have PVA in Teams so I'm not 100% sure if PVA in Teams can connect to live agent but I don't think it's possible based on my initial brief look at the tool.