Ok, so you have coil, rectifier, large capacitor, small capacitor, voltage regulator, small capacitor, larger capacitor and then your load.
The values are all very much dependent on the requirements of the load and the input voltage of your coil.
If the measurement you made was an AC measurement then you'll have to triple that for the working voltage of your Capacitor, those are MAXIMUM rationgs, not operating conditions. So if you have a 12V MAX AC voltage I'd say you'd need 50 V caps, at 500 mA use 2200 uF on both sides of the regulator (and 10 nF to quell any oscillations)
Voltage regulation needs about 3V more than the 'output' voltage at a minimum to work.
Reverse breakdown voltage of your rectifier should be at least 3x input voltage as well.
Maybe you could post a schematic of the way you have things arranged and/or an image ?