To be very effective, a filter would need a very large surface pre-filter, and a large surface HEPA filter (expensive), both not the size of normal filter elements. Then to absorb gaseous odors, a large amount of activated carbon. The carbon filters sold for most filters, other then for large commercial use are a joke.
Years ago I made one which consisted of a 8' x3x3' rectangle, divided into 3 compartments, consisting of a large amount of fiberglass batting used as a pre-filter, 3 Hepa filters, stacked in parallel, and about a 100lbs of activated charcoal, with an axial fan to push air through it. Did very well in removing dust/smoke but even with 100lbs of activated carbon, odors persisted, though much less then without it. Most of the smoke was actually removed by the fiberglass, as I believe a slight electrostatic charge was created by the air flow over the plastic fan blades, forcing the smoke to adhere to the fiberglass (purchased a low current high voltage transformer to create a large static charge on the fiberglass, but never installed it).