Budgies are members of the parrot
family, and as such, are given to theatrics just like large parrots are. When your budgie screams, don't scream back for him to "shut up!!!!", because that will just incite him to yell even more.
When he screams, go over to the cage and try talking to him in a calm voice, repeat a phrase like "you're a pretty bird" until he calms downm, and them tell him what a good boy he is.