A 4700 µF, 25 V capacitor would be a good start. A bigger voltage or capacitance would improve reliability or ripple.
You could use a 10 W car bulb as a load resistor to see if there is a capacitor inside the transformer.
We've all assumed you are needing about 1 A at 9 V, but you never said what you are powering. It is the load current, not the transformer's rating, that controls the size of capacitor needed. If the load is much less, you can use a smaller capacitor.