(CNN) Chris Watts kept changing stories after his pregnant wife and two daughters disappeared from their Colorado town in mid-August.

And even though he pleaded guilty Tuesday to first-degree murder and other charges in their deaths, it's still not known publicly what happened to 34-year-old Shanann Watts and their daughters, Bella, 4, and Celeste, 3.

When Shanann Watts and her two little girls went missing from their home in Frederick, about 30 miles north of Denver, Chris Watts first told news cameras that they had gone to a friend's house.

Later, as people searched for his missing family, Watts told CNN affiliate KMGH he had had an emotional conversation with his wife, Shanann, the last time he saw her. He gave no details about that talk, only saying, "I just want them back."

He initially told law enforcement that on the morning of August 13 he told his wife he wanted to separate and then left for work.

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