The assailants barged into the house of Ragho Singh last night and shot dead Gudia Kumari (18) and Soni Kumari (15) and injured another daughter Poonam Kumari (13), they said.
The motive behind the firing is under investigation, they said, adding that Singh had recently married again after the death of his first wife, which his daughters had opposed.
His second wife, Sudha Devi, is absconding.
The bodies of the deceased have been sent for post-mortem and the injured has been admitted to hospital, they said.
Singh is currently on a posting in Jharkhand.
