How can I implement Max Payne dodge style to my game?

You would need your character animations first, like Walking, Running, Jumping, FireHandgun, FireMachinegun, FireShotgun and Dodge.Then you have to create a StateMachine, why? Those Animations are all seperate and to make the transition from one animation to another you create a Blendspace (to blend from Animation1 to Animation2). So, look into StateMachines, Blendspace and Animations. Some Animations are free in the marketplace or Mixamo or you use tools like Blender to create your own animations (Dodge).