Commercial/Industrial HVAC filters, aka Bag Filters, are widely available, and are no more expensive to purchase than a 20x20x4" filter (BTW Honeywell makes 4" filters to fit standard return air grilles).
These filters come in 4 standard frame sizes, 12x24, 20x20, 20x24, and
24x24. They need ALOT of room behind the filter face as the media is 10 to 37 inches deep.The filter media is 0.15 to 0.25 inches thick. Look at your pleated filter, how thick is the material in the pleats?? Thin!! Much thinner than this.
Filter media is then 10 to 120 square feet in size!!! a typical residential pleated furnace filter 20x24 in size has about 6 sq ft of filter in it.
They come in a variety of filter ratings from a number of different manufacturers. I have seen Purolator on several web sites. Merv ratings climb from 7 to 15. MERV15 on the Purolator models as is the case with all fitlers with this rating will capture 95% of the 1 micron and larger particles in the air, and the Purolator Defiant and Serva-Pak models will capture 80% of the 0.3 micron particles. This is almost HEPA ratings (99.97% of 0.3micron particles and up), but at a MUCH lower costs. A HEPA filter sized to treat your whole HVAC will cost you roughly $2800 to purchase and install. The filter costs about $300 when you replace it.
You need the assistance of an HVAC pro to make an adapter for this in your return air plenum, and to select a model that will not place undue burden on your HVAC fan. This last point is very important as HVAC fans are not really designed to pull air thru a filter any more dense than MERV 11, and most of them work MUCH better if they have a MERV 7 or less filter in them. This is an important point, as the filter fitted by the manufacturer is there SOLELY to protect the EQUIPMENT, not to protect YOU! You can find models of the 95% filter bag that have initial pressure drops roughly the same as a Filtrete UltraAllergan. Unlike the Filtrete which may need to be changed every
2-3months, this filter will not need to be changed any more often than once or twice a year!!$40 once or twice a year vs $19 or so at least 4 perhaps 6 times a year AND you capture ENORMOUSLY more dirt, dust, pollen, mold. Your house stays MUCH cleaner.
HEPA will do a better job at filtering, but it costs way more to acquire and install and the annual filter replacement is MUCH more expensive too.