Prepare all the ingredients. Pour the milk and heavy cream into a saucepan and heat over medium heat. Do not boil; just warm it through.
In a bowl, beat the egg yolks with the sugar and vanilla sugar until pale and fluffy. Gradually add the warm milk and heavy cream mixture, then pour the mixture back into the saucepan, stirring constantly.
Cook the mixture over low heat, stirring constantly, for 5-7 minutes, or until it thickens slightly. Be careful not to let it boil.
Stir the eggnog into the egg mixture until well combined and the flavors meld.
Once well combined, strain the mixture through a fine-mesh sieve to remove any lumps. Pour the mixture into a bowl and let it cool to room temperature.
Refrigerate the mixture for at least 3-4 hours, or preferably overnight, to allow the flavors to develop and the parfait to firm up completely.
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