The girls' mother also received bullet injuries when she tried to save her daughters.
While the three girls, Kajal, Vineeta and Chandani (all under eight years of age) died on the spot, their mother Sonia is in critical condition, SP (Rural) Anil Kumar Rai said.
After killing his daughters, the father, Mahesh Chandra, himself informed the police, which arrested him.
Mahesh's three-month old son and mother who were also in the house at the time of the incident escaped unhurt.
Police are interrogating Mahesh to ascertain the reason behind the crime.
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