Although Coquito is often referred to as a type of eggnog, it typically does not contain any eggs at all (though some do add them). It is thick because the cream of coconut and canned milks in it are thick. With traditional eggnog, milk, cream sugar and yolks are carefully simmered until the concoction thickens up like a custard. While rum can be added, brandy is most popular.  Cognac or  whiskey are other common choices.