@thielmann1 Hello, that's a good question. Let me start by saying furnace filters should be "matched" to the system on which they are being used. There are no HEPA filters that will operate on a typical home furnace because they restrict air flow too much to allow the system to function. However there are highly rated standard filters that can trap most particles. Furnace filters are rated in "MERVS" - here is a great article explaining it:
https://www.consumerreports.org/appliances/air-filters/buying-guide/
What does that mean for you and me?
First, figure out which filter your system uses (1" or 4" & the dimensions)
If possible, figure out the recommended maximum filter rating (MERV) 11-13. It may be on the furnace, in the maintenance guide, or available on-line.
Buy a good quality filter and change it OFTEN. Ours is recommended for annual replacement, but we do it twice a year. If we lived in an area with forest and grass fires, we would do it more often during fire season.
You may have an integrated whole-house air purifier with HEPA filter that "feeds" purified air directly to the HVAC system. If so, replace those filters as recommended (ours is twice a year) with the best-rated one for your model.

There is a disadvantage to using the whole-house HEPA filter - you must run the HVAC fan full time so the air always circulates through it. We don't like to do that in our usually temperate climate & relatively airtight house. We don't have the option in our seasonal tiny house. So in both homes, we supplement the filtration with properly sized portable HEPA air purifiers. We use one in the main living space, a smaller one in the bedroom and run them full time when we are in residence. Each contains a large-particle filter we change every 2-3 months when in use and HEPA filters we replace annually (each set runs 6 month/year so we are comfortable with this schedule.)

This solution works well for us. One precaution we take - because the filters have trapped a large quantity of pollutants, I don't handle them unless masked and gloved. They are immediately placed in sealed plastic bags before depositing in the trash. You would be amazed at what they look like when replaced! And I have been impressed at the amount of dust reduction in our home.

Next inevitable question - what purifiers do we use? Honeywell Insight Series. Why, since they aren't always the best-rated? Because they are reliable, come in many sizes, we can always purchase the standard replacement filters, and they have nice features like automatic speed adjustment based on air quality.

What do other people do to manage their home air quality?
Sue