Rinse the rice thoroughly. Gather the three types of milk and the rest of the ingredients.

In a pot, combine the rice, 2 cups of water, vanilla extract, cinnamon stick, and star anise. Cook over low heat for 20 minutes.

If the rice starts to stick, transfer it to a nonstick pot. Add the milk and cook for 15 minutes, stirring constantly. Then add the evaporated milk, and after 10 minutes, add the sweetened condensed milk. Keep stirring with a spoon the whole time to prevent it from boiling over.