Add the egg yolks, sugar, nutmeg, vanilla, and sweetened condensed milk to a large mixing bowl. Whisk thoroughly to combine.

Using an immersion blender, slowly pour the vodka into the egg mixture and blend until the sugar is fully dissolved. This may take a couple of minutes.

Pour the Advocaat into air-tight bottles and store in the refrigerator for two weeks before using. Shake the bottles occasionally during the two weeks to make sure everything stays combined.