The word is of Eastern Iranian origin. It's thought that it might mean "archer." It comes from the same Indo-European root as the same word for the English "shoot." Someone joked that Scythian Saka Archer means "archer archer archer." Not totally true, but you get the idea. The Greek word is a borrowed word, not an exonym. Speaking of Persians, both Roman and Indian sources say the Parthians were a Scythian tribe.