I would really like to create automatic generating chapter numbers and corresponding page numbers. I.e. CHAPTER 01. and then in every title I would like them to automatically generate 01.1 01.2 etc... How can I do this?

LinkedIn Learning has a few courses on creating long documents with InDesign. 

They have a free 30-day trial (may differ in your country) and some libraries have a free subscription to the service. 

You may want to check it out.

Building on Dave’s answer…

This is doable in InDesign but you need to learn auto-numbers and how to work with books, first. You haven’t given us any indication of your InDesign knowledge or experience so I’m not sure where to start the explanation. I’m choosing an overview level with links to give you access to more detail, if you need it.

Books

Some folks build books in one single InDesign (.indd) file, and others create multiple InDesign files—one for each chapter or section—and then add the .indd files to an InDesign book (.indb) file.

If InDesign books are new to you: a book file is just a list of InDesign files in chronological order and they store the structure and settings of a multi-document project, not the content. They track document order, numbering, sync settings, and the style source, while individual INDD files remain separate. You can read more about books in InDesign here:

https://helpx.adobe.com/indesign/desktop/create-and-organize-pages/create-and-manage-book-files/create-save-book-files.html

You didn’t mention if you are taking the former or the latter approach, but as per Dave, if you want to call the chapter number into the running head, you will have to work with an InDesign book. 

Auto-Numbering

InDesign can handle all sorts of complex numbering systems, as evidenced by the file Dave shared with you. You will want to get up and running on List Types, Levels and Placeholders. You can start here: https://helpx.adobe.com/indesign/desktop/format-and-style-text/lists-and-numbering/create-lists.html

Once you have a good grasp of books and outnumbering, set up automatic chapter numbering using the ^H Placeholder on the Chapter Titles and then also on the page numbers in the running heads in all of the individual files. 

When you add your files to the book window and update the numbering, InDesign will update the chapter numbers automatically—both on the page and in the running heads.

Also, you are showing a leading 0 in your example, when you use the ^H, you need to set that in the book panel menu > Document Numbering Options.