If the generator produces true DC then capacitors do not do anything and are not necessary.
In the real world the generator produces ripple and noise superimosed on the DC and this may cause trouble in other parts of the system.
A capacitor will have an inductance and will only work as a capacitor below its resonant frequency. Thus the capacitance and construction will depend on the frequency to be smoothed. The capacitor voltage rating must be above any voltage that it will see.