The 15-year-old boy who shot dead a NSW police employee outside the force's headquarters had not come to the attention of counter terrorism police before he carried out the "politically motivated" attack.

High school student Farhad Khalil Mohammad Jabar shot dead police accountant Curtis Cheng, 58, from behind and at close range outside police headquarters at Parramatta at 4.30pm on Friday.

The teenager, who went to school at Arthur Phillip High just 300 metres away from where the attack took place, then continued to fire his handgun outside the police building until he was killed in a shoot out with three special constables.

NSW Police Commissioner Andrew Scipione said it was believed the teenager was acting alone and that police had no prior information that he posed "this type of threat".

"We are exploring every avenue with regard to why he did what he did," Mr Scipione said.

"We have no information that this individual posed this type of threat but ...  we believe his actions were politically motivated and therefore linked to terrorism."

Fairfax Media has been told Farhad was not linked to anyone targeted in Operation Appleby, the massive counter terrorism raids carried out in September 2014.

It was reported that his brother contacted police after hearing of the shooting, concerned Farhed might have been involved.

Police were on Saturday night trying to make contact with Farhad's sister. The ABC reported she flew out of Australia on a Singapore Airlines flight bound for Istanbul on Thursday and may have been attempting to reach Iraq or Syria.

She had taken all of her belongings with her.

Police said they had not yet uncovered any messages, religious writings or notes left by Farhad.

His social media accounts appear mostly untouched since about 2013, when he sent tweets about the reality talent show The Voice.

He did, however, visit nearby Parramatta mosque on Friday afternoon before carrying out the attack. It is understood he changed into the flowing black shirt and black trousers there. Detectives were seen visiting the mosque on Saturday.

"He clearly went [to police headquarters] wanting to be killed so he very well may have got rid of everything beforehand," a police source said.  "There is no way he was expecting to survive."

Farhad is understood to have been carrying an "old-style handgun" but police were still yet to determine how he had obtained it.

Mr Scipione said police were a "long way from establishing a full picture of the boy" but said he was of Iraqi-Kurdish background and born in Iran and had been living in North Parramatta with family.

Premier Mike Baird said the shock that a 15-year-old could carry out such an act would be felt not just in Sydney but around the world.

"How can someone so young undertake such a chilling act?" Mr Baird said.

"It doesn't make sense. It should never have happened. Obviously we are all lost for words."

The chairman of the Parramatta Islamic Association, Neil El-Kadomi, said he was shocked at the actions of the 15-year-old boy. "We do not support anyone who does stupid things," Mr El-Kadomi said. "I strongly condemn such actions."

Mr Baird urged people to go on with their lives as normal and enjoy the long weekend.

"Everyone else should get on with their lives in the sense of, whatever you do on a Saturday, go out and do it," he said. "If you're going to the grand final, enjoy it, that's what we should do."

Mr Scipione said he would meet with Mr Cheng's family on Saturday and said the entire NSW Police Force was in mourning a man who had worked with them for 17 years.

"He was a much loved man, been with us a long time," he said. "I don't think I've ever heard anyone have a bad word about Curtis, and he will be missed."

Mr Scipione also praised the bravery shown by the special constables who responded to the shooting. "I don't think I've seen a greater act of bravery than what I saw last night with these three special constables," he said.

"Those special constables certainly put their lives online, knowing they were under fire, probably aware that somebody had been shot, could  even have been aware that it was one of their own."

A critical incident investigation, known Strike Force Fellows, lead by the NSW homicide squad, will now investigate the double shooting and report to the state coroner.