Text-based sentiment analysis is a growing research field in affective computing, driven by both commercial applications and academic interest. Continuous dimensional representations, such as valence-arousal (VA) space, can represent the affective state more precisely than discrete effective representations. In building dimensional sentiment applications, affective lexicons with valence-arousal ratings are useful resources but are still very rare. Therefore, recent studies have investigated the automatic development of VA lexicons using linear regression techniques. One of the major limitations of linear regression is the under-fitting problem which can cause a poor fit between the algorithm and the training data. To tackle this problem, this study proposes the use of a locally weighted linear regression (LWLR) model to predict the valence-arousal ratings of affective words. The locally weighted method performs a regression around the point of interest using only training data that are "local" to that point, and thus can reduce the impact of noise from unrelated training data. Experimental results show that the proposed method achieved better performance for VA word prediction.