You can’t have multiple different-sized forecasting periods within the module but you can split forecasts into various size buckets when they are copied to the Final forecast used by Master Planning. For example you could split monthly forecasts into daily forecasts for the first week, weekly forecasts for the next 3 weeks and then monthly forecasts after that.
Forecasts are split using standard AX/D365 period keys, but the process is automated with periods keys able to be specified at system level (in the forecasting parameters, by forecast item group and/or at item coverage level. The most detailed selection (item coverage) takes priority over periods keys selected at higher levels.