Dharmesh Shah, 50, owns a construction business and lived with his wife and daughters at an upmarket area of the city, according to police.
The businessman was said to be under a debt of Rs 15 crore which his family was unaware of. A heated argument took place late on Monday over funding one of the daughter's studies abroad - which would have cost him Rs 70 lakh.
"When the family went to sleep, Shah first shot his wife, Amiben, with his licensed pistol. He then killed both his daughters Heli, 24, and Khushi, 18, with a 12-bore gun.
Dharmesh Shah then called up an engineer in his firm and some of his relatives to tell them he was going to commit suicide, according to police. However, he instead called up police control room and surrendered when the police arrived.
He has been arrested on charges of murder and is being interrogated.